How the market judges bank risk

Risk ; Bank investments

Hedging with Foreign-listed Single Stock Futures

The objective of this paper is to estimate the hedge ratios of foreign-listed single stock futures (SSFs) and to compare the performance of risk reduction of different methods. The OLS method and a bivariate GJR-GARCH model are employed to estimate constant optimal hedge ratios and the dynamic hedging ratios, respectively. Data of the SSFs listed on the London International Financial Future and Options Exchange (LIFFE) are used in this research. We find that the data series have high estimated constant optimal hedge ratios and high constant correlation in the bivariate GJR- GARCH model, except for three SSFs with their underlying stocks traded in Italy. Our findings provide evidence that distance is a critical factor when explaining investor’s trading behavior. Results also show that in general, of the three methods examined (i.e., naïve hedge, conventional OLS method, and dynamic hedging) the dynamic hedging performs the best and that naïve hedge is the worst

Hedging with Foreign-listed Single Stock Futures

The objective of this paper is to estimate the hedge ratios of foreign-listed single stock futures (SSFs) and to compare the performance of risk reduction of different methods. The OLS method and a bivariate GJR-GARCH model are employed to estimate constant optimal hedge ratios and the dynamic hedging ratios, respectively. Data of the SSFs listed on the London International Financial Future and Options Exchange (LIFFE) are used in this research. We find that the data series have high estimated constant optimal hedge ratios and high constant correlation in the bivariate GJR- GARCH model, except for three SSFs with their underlying stocks traded in Italy. Our findings provide evidence that distance is a critical factor when explaining investor’s trading behavior. Results also show that in general, of the three methods examined (i.e., naïve hedge, conventional OLS method, and dynamic hedging) the dynamic hedging performs the best and that naïve hedge is the worst

Origin of the Metallicity Distribution in the Thick Disc

Aims. Using a suite of cosmological chemodynamical disc galaxy simulations, we assess how (a) radial metallicity gradients evolve with scaleheight; (b) the vertical metallicity gradients change through the thick disc; and (c) the vertical gradient of the stellar rotation velocity varies through the disc. We compare with the Milky Way to search for analogous trends. Methods. We analyse five simulated spiral galaxies with masses comparable to the Milky Way. The simulations span a range of star formation and energy feedback strengths and prescriptions, particle- and grid-based hydrodynamical implementations, as well as initial conditions/assembly history. Disc stars are identified initially via kinematic decomposition, with a posteriori spatial cuts providing the final sample from which radial and vertical gradients are inferred. Results. Consistently, we find that the steeper, negative, radial metallicity gradients seen in the mid-plane flatten with increasing height away from the plane. In simulations with stronger (and/or more spatially-extended) feedback, the negative radial gradients invert, becoming positive for heights in excess of !1 kpc. Such behaviour is consistent with that inferred from recent observations. Our measurements of the vertical metallicity gradients show no clear correlation with galactocentric radius, and are in good agreement with those observed in the Milky Way’s thick disc (locally). Each of the simulations presents a decline in rotational velocity with increasing height from the mid-plane, albeit the majority have shallower kinematic gradients than that of the Milky Way. Conclusions. Simulations employing stronger/more extended feedback prescriptions possess radial and vertical metallicity and kinematic gradients more in line with recent observations. The inverted, positive, radial metallicity gradients seen in the simulated thick stellar discs originate from a population of younger, more metal-rich, stars formed in-situ, superimposed upon a background population of older migrators from the inner disc; the contrast provided by the former increases radially, due to the inside-out growth of the disc. A similar behaviour may be responsible for the same flattening seen in the radial gradients with scaleheight in the Milky Way

Recap of The Joint 14th Annual PBFEA and 2006 Annual Financial Engineering Association of Taiwan Conference

No abstract received.

Recap of the Thirteenth Conference on Pacific Basin Finance, Economics, and Accounting

No abstract received.

Recap of the Twelfth Conference on Pacific Basin Finance, Economics, and Accounting

No abstract received.