Hedging by sequential regressions revisited

Author(s):

Ales Cerny

Topic:
Finance
Industry:
Banking

Almost 20 years ago Foellmer and Schweizer (1989) suggested a simple and influential scheme for the computation of hedging strategies in an incomplete market. Their approach of local risk minimization results in a sequence of one-period least squares regressions running recursively backwards in time.

Updated: 22/09/2011
Comments:
Views: 3,241

Optimal hedging with higher moments

Author(s):

Ales Cerny

Topic:
Finance
Industry:
Banking

This study proposes a utility-based framework for the determination of optimal hedge ratios that can allow for the impact of higher moments on the hedging decision. The approach is applied to a set of 20 commodities that are hedged with futures contracts.

Updated: 22/09/2011
Comments:
Views: 3,369

Fast Fourier transform and option pricing

Author(s):

Ales Cerny

Topic:
Finance
Industry:
Banking

This article is a concise introduction to applications of Fourier transform and FFT in option pricing.

Updated: 22/09/2011
Comments:
Views: 2,844

Does competition lead to efficiency? The case of EU commercial banks

Author(s):

Barbara Casu

 et al.
Topic:
Finance
Industry:
Banking

Using bank level balance sheet data for commercial banks in the major EU banking markets, this paper aims to shed some light on the recent developments in competition, concentration and bank-specific efficiency levels. Furthermore, using Granger-type causality test estimations, this study investigates the relationship between competition and efficiency.

Updated: 22/09/2011
Comments:
Views: 3,478

Integration and efficiency in EU banking markets

Author(s):

Barbara Casu

 et al.
Topic:
Finance
Industry:
Banking

This paper evaluates the recent dynamics of bank cost efficiency by means of Data Envelopment Analysis (DEA). Borrowing from the growth literature, we apply dynamic panel data models (GMM) to the concepts of β-convergence and σ-convergence to assess the speed at which banking markets are integrating.

Updated: 22/09/2011
Comments:
Views: 2,796

Regulatory reform and productivity change in Indian banking

Author(s):

Barbara Casu

 et al.
Topic:
Finance
Industry:
Banking

This paper examines the impact of regulatory reform on TFP growth and its sources and on the relationship between ownership and cost efficiency for Indian banks in 1992-2004.

Updated: 22/09/2011
Comments:
Views: 3,812

Competition and risk taking incentives in the lending market: an application to Indian banking

Author(s):

Barbara Casu

 et al.
Topic:
Finance
Industry:
Banking

This paper develops a structural model of competition in the lending market to examine the impact of financial reforms both on competition and on banks' risk taking incentives.

Updated: 22/09/2011
Comments:
Views: 3,421

What drives the efficiency of selected Mena banks? A meta-frontier analysis

Author(s):

Barbara Casu

 et al.
Topic:
Finance
Industry:
Banking

This study examines the effect of financial sector reform on bank performance in selected Middle Eastern and North African (MENA) countries in the period 1993-2006.

Updated: 22/09/2011
Comments:
Views: 3,072

Securitization and bank performance

Author(s):

Andrew Clare

Topic:
Finance
Industry:
Banking

This study aims to evaluate whether banks improve their performance through the use of securitization markets by applying a propensity score matching approach.

Updated: 22/09/2011
Comments:
Views: 5,168