nep-rmg New Economics Papers
on Risk Management
Issue of 2006‒03‒05
seven papers chosen by
Stan Miles
York University
  1. Risk management for an internationally diversified portfolio By Francesco Menoncin
  2. Risk management for pension funds By Francesco Menoncin
  3. The Evolution of International Political Risk 1956-2001 By Radu Tunaru; Ephraim Clark
  4. Futures Maturity and Hedging Effectiveness - The Case of Oil Futures By Ronald Ripple; Imad Moosa
  5. FIRST: A Market-Based Approach to Evaluate Financial System Risk and Stability By Renzo G. Avesani
  6. The Shapley decomposition for portfolio risk By Stéphane Mussard; Virginie Terraza
  7. The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability By Thomas Nitschka
  1. By: Francesco Menoncin
    Abstract: In a simple framework where we have: (i) a stochastic domestic interest rate, (ii) a stochastic exchange rate, (iii) both a domestic and a foreign riskless asset, and (iv) both a domestic and a foreign risky asset, we explicitly compute the optimal asset allocation for an investor who wants to maximize the expected (CRRA) utility of his final wealth. This explicit solution allows us the widely investigate the behaviour of the optimal portfolio hedging component with respect to all the parameters in the model. In particular, we show a numerical simulation for investigating the hedging strategy against the exchange rate risk.
    URL: http://d.repec.org/n?u=RePEc:ubs:wpaper:ubs0404&r=rmg
  2. By: Francesco Menoncin
    Abstract: We take into account the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. When both the interest rate and the market price of risk are deterministic, we are able to compute an explicit solution. In a simplified framework we demonstrate that this optimal portfolio is always less risky than the Merton’s (1969-1971) one. In particular, the asset allocation is less and less risky until the pension date while, after retirement of the fund’s member, it becomes riskier and riskier.
    URL: http://d.repec.org/n?u=RePEc:ubs:wpaper:ubs0403&r=rmg
  3. By: Radu Tunaru (Cass Business School, City University London); Ephraim Clark (Middlesex Business School)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:37&r=rmg
  4. By: Ronald Ripple (Department of Economics, Macquarie University); Imad Moosa (Department of Economics and Finance, La Trobe University)
    Abstract: This paper examines the effect of the maturity of the futures contact used as the hedging instrument on the effectiveness of futures hedging. For this purpose, daily and monthly data on the WTI crude oil futures and spot prices are used to work out the hedge ratios and the measures of hedging effectiveness resulting from using the near-month contract and those resulting from the use of a more distant (six-month) contract. The results show that futures hedging is more effective when the near-month contract is used. They also reveal that hedge ratios are lower for near-month hedging. Some explanations are presented for these findings.
    Date: 2005–11
    URL: http://d.repec.org/n?u=RePEc:mac:wpaper:0513&r=rmg
  5. By: Renzo G. Avesani
    Keywords: Risk premium , Markets , Credit , Financial institutions , Financial stability , Global financial stability report , Financial systems ,
    Date: 2005–12–22
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:05/232&r=rmg
  6. By: Stéphane Mussard (GREDI, Université de Sherbrooke and GEREM, Université de Perpignan); Virginie Terraza (CREA, University of Luxembourg, Faculty of Law Economics and Finance)
    Abstract: The aim of this paper is to provide an application of the Shapley Value to decompose financial portfolio risk. Decomposing the sample covariance risk measure yields relative measures, which enable securities of a portfolio to be classified according to risk scales.
    Keywords: Decomposition, Risk, Shapley, Volatility
    JEL: C3 D31 D63 G11
    Date: 2006
    URL: http://d.repec.org/n?u=RePEc:shr:wpaper:06-09&r=rmg
  7. By: Thomas Nitschka (University of Dortmund)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:22&r=rmg
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