scholarly journals Dependence and Risk Spillover among Hedging Assets: Evidence from Bitcoin, Gold, and USD

2021 ◽  
Vol 2021 ◽  
pp. 1-20
Author(s):  
Jiang Yu ◽  
Yue Shang ◽  
Xiafei Li
Keyword(s):  
Value At Risk ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Conditional Value At Risk ◽  
Variational Model ◽  
Model Decomposition ◽  
Regulatory Decision ◽  
Short And Long Term ◽  
Risk Spillover Effects

Understanding the dependence and risk spillover among hedging assets is crucial for portfolio allocation and regulatory decision making. Using various copula and conditional Value-at-Risk (CoVaR) measures, this paper quantifies the dependence and risk spillover effects between three traditional and emerging hedging assets: Bitcoin, gold, and USD. Furthermore, we investigate these effects at various short- and long-term horizons using a variational model decomposition (VMD) method. The empirical results show that there is strong negative dependence between gold and USD, but Bitcoin and gold are weakly and positively connected. Secondly, risk spillovers exist only between Bitcoin and gold and between gold and USD. The risk spillover effect between Bitcoin and gold are not stable, that is, if Bitcoin or gold faces the downward or upward risk, both the downward and upward risk of another asset have the chance to increase. The negative risk spillover between gold and USD is stable, especially in long-term horizons. Finally, the risk spillover between Bitcoin and gold as well as between gold and USD are asymmetric at downward and upward market environment.

Analysis of risk spillover effect of copper option in China

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Wuyi Ye ◽  
Yiqi Wang ◽  
Jinhai Zhao
Keyword(s):  
Value At Risk ◽  
Risk Model ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Futures Market ◽  
Content Type ◽  
Conditional Autoregressive ◽  
Derivative Markets ◽  
The Impact ◽  
Risk Spillover Effects

Purpose The purpose of this paper is to compare the changes in the risk spillover effects between the copper spot and futures markets before and after the issuance of copper options, analyze the risk spillover effects between the three markets after the issuance of the options and can provide effective suggestions for regulators and investors who hedge risks. Design/methodology/approach The MV-CAViaR model is an extended form of the vector autoregressive model (VAR) to the quantile model, and it is also a special form of the MVMQ-CAViaR model. Based on the VAR quantile model, this model has undergone continuous promotion of the Conditional Autoregressive Value-at-Risk Model (CAViaR) and the Multi-quantile Conditional Autoregressive Value-at-Risk Model (MQ-CAViaR), and finally got the current form of the model. Findings The issuance of options has led to certain changes in the risk spillover effect between the copper spot and its derivative markets, and the risk aggregation effect in the futures market has always been significant. Therefore, when supervising the copper product market and investors using copper derivatives to avoid market risks, they need to pay attention to the impact of futures on the spot market, the impact of options on the futures market and the risk spillover effects of spot and futures on the options market. Practical implications The empirical results of this paper can be used to hedge market risk investment strategies, and the changes in market relationships also provide an effective basis for the supervision of the copper product market by the supervisory authority. Originality/value It is the first literature research to discuss the risk and the impact of spillover effects of copper options on China copper market and its derivative markets. The MV-CAViaR model can capture the mutual risk influence between markets by modeling multiple markets simultaneously.

NATURAL HEDGING IN LONG-TERM CARE INSURANCE

2017 ◽  
Vol 48 (1) ◽  
pp. 233-274 ◽  
Author(s):  
Susanna Levantesi ◽  
Massimiliano Menzietti
Keyword(s):  
Value At Risk ◽  
Long Term Care ◽  
Transition Probabilities ◽  
Parametric Bootstrap ◽  
Conditional Value At Risk ◽  
Risk Minimization ◽  
Product Mix ◽  
Term Care ◽  
Hedging Strategies

AbstractWe investigate the application of natural hedging strategies for long-term care (LTC) insurers by diversifying both longevity and disability risks affecting LTC annuities. We propose two approaches to natural hedging: one built on a multivariate duration, the other on the Conditional Value-at-Risk minimization of the unexpected loss. Both the approaches are extended to the LTC insurance using a multiple state framework. In order to represent the future evolution of mortality and disability transition probabilities, we use the stochastic model of Cairns et al. (2009) with cohort effect under parameter uncertainty through a semi-parametric bootstrap procedure. We calculate the optimal level of a product mix and measure the effectiveness provided by the interaction of LTC stand alone, deferred annuity and whole-life insurance. We compare the results obtained by the two approaches and find that a natural hedging strategy for LTC insurers is attainable with a product mix of LTC and annuities, but including low proportion of LTC.

Recent updates on biomarkers of exposure and systemic toxicity in e-cigarette users and EVALI

2021 ◽  
Author(s):  
Samantha R McDonough ◽  
Irfan Rahman ◽  
Isaac Kirubakaran Sundar
Keyword(s):  
Potential Toxicity ◽  
Regulatory Decision ◽  
Research Areas ◽  
Epigenetic Biomarkers ◽  
Biomarkers Of Exposure ◽  
Drastic Increase ◽  
Novel Biomarkers ◽  
Short And Long Term ◽  
Traditional Tobacco

Electronic nicotine delivery systems (ENDS), or e-cigarettes, are emerging tobacco products that produce aerosols by heating e-liquids, which most often consist of propylene glycol and vegetable glycerin along with various flavoring compounds, bypassing the combustion that occurs in the use of traditional tobacco cigarettes. These products have seen a drastic increase in popularity in recent years both as smoking cessation devices as well as among younger generations, due in large part to the widespread perception among consumers that e-cigs are significantly less harmful for health than traditional tobacco cigarettes. Due to the novelty of ENDS as well as their rapidly increasing use, research into biomarkers of e-cig exposure and toxicity have lagged behind their popularity, leaving important questions about their potential toxicity unanswered. Research into potential biomarkers of acute, chronic e-cig use and E-cigarette- or Vaping-Associated Lung Injury is necessary for informing both clinical and regulatory decision-making. We aim to provide an updated review of recent research into potential circulating, genomic, transcriptomic and epigenetic biomarkers of exposure to and toxicity of e-cigs. We additionally highlight research areas that warrant additional study to gain better understanding of health risks associated with ENDS use, as well as to provide validation of existing data and methods for measuring and analyzing e-cig-associated biomarkers in human and animal biofluids, tissues and cells. This review also highlights ongoing efforts within the WNY Center for Research on Flavored Tobacco for research into novel biomarkers in extracellular vesicles that may be associated with short- and long-term ENDS use.

scholarly journals Tail Dependence and Risk Spillover from the US to GCC Banking Sectors

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 2055
Author(s):  
Faisal Alqahtani ◽  
Nader Trabelsi ◽  
Nahla Samargandi ◽  
Syed Jawad Hussain Shahzad
Keyword(s):  
Asset Allocation ◽  
Value At Risk ◽  
Banking Sector ◽  
Banking System ◽  
Tail Dependence ◽  
Spillover Effects ◽  
The United States ◽  
Conditional Value At Risk ◽  
Hedging Strategies ◽  
The Us

This study investigates the structure of the tail dependence between the United States (US) and Gulf Cooperation Council (GCC) banking sectors for the period February 2010 to July 2017. Conditional value at risk and conditional diversification benefits are calculated. The GCC banking sectors show lower tail dependence with the US banking sector. This is confirmed by the fact that GCC banking sectors receive higher downside risk spillover from the US banking system during downside market movements compared to upside risk spillover effects. Interestingly, an equally weighted portfolio of US and GCC banking stocks can provide relatively higher diversification benefits. These findings have implications for portfolio diversification, asset allocation and hedging strategies.

scholarly journals The short- and long-term impact of an incentive intervention on healthier eating: a quasi-experiment in primary- and secondary-school cafeterias in Brazil

2019 ◽  
Vol 22 (09) ◽  
pp. 1675-1685 ◽  
Author(s):  
Claudio M Ferreira ◽  
Rafael Goldszmidt ◽  
Eduardo B Andrade
Keyword(s):  
Hierarchical Linear Model ◽  
Spillover Effects ◽  
Control School ◽  
Intervention Period ◽  
Convenience Sample ◽  
Short And Long Term ◽  
Purchasing Behaviour ◽  
School Cafeterias ◽  
Quasi Experiment

AbstractObjectiveTo assess the short- and long-term effectiveness of a lottery incentive intervention to promote the purchase of healthy products in school cafeterias.DesignA quasi-experiment in which students’ purchases in intervention schools were analysed in a pre–post analysis and also compared with a control school in a difference-in-differences model. A hierarchical linear model assessed the mean number of promoted healthy products purchased daily per participant before (twenty-six weekdays), during (nine weekdays) and after (twenty-eight weekdays) the intervention period. Sex, age and prior purchasing behaviour served as covariates.SettingConvenience sample of school cafeterias using a debit-card payment method that allowed for the assessment of students’ purchasing behaviour.ParticipantsStudents who used the pre-paid card to buy snacks at the school cafeteria. A total of 352 students (208 in intervention schools and 144 in control school) were included in the final analyses.ResultsThe incentives programme significantly increased the purchase of promoted healthy products during (v. before) the intervention period in intervention schools (P<0·001), especially among younger children (P=0·036). Among the students who purchased the promoted healthier products during the intervention, there was an increase in total number of purchased products (healthy non-promoted, but also of less healthy products). Sex and past consumption behaviour did not influence the response to incentives in the short term. On average, no long-term effect was observed.ConclusionsLong-term and negative spillover effects must be taken into consideration for a complete understanding of the effects of incentives on healthier eating.

scholarly journals Modelling systemic risk using neural network quantile regression

2021 ◽  
Author(s):  
Georg Keilbar ◽  
Weining Wang
Keyword(s):  
Neural Network ◽  
Quantile Regression ◽  
Systemic Risk ◽  
Value At Risk ◽  
Risk Measures ◽  
Risk Index ◽  
Hazard Index ◽  
Nonlinear Effects ◽  
Spillover Effects ◽  
Conditional Value At Risk

AbstractWe propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institutions based on neural network quantile regression. Building on the estimation results, we model systemic risk spillover effects in a network context across banks by considering the marginal effects of the quantile regression procedure. An out-of-sample analysis shows great performance compared to a linear baseline specification, signifying the importance that nonlinearity plays for modelling systemic risk. We then propose three network-based measures from our fitted results. First, we use the Systemic Network Risk Index (SNRI) as a measure for total systemic risk. A comparison to the existing network-based risk measures reveals that our approach offers a new perspective on systemic risk due to the focus on the lower tail and to the allowance for nonlinear effects. We also introduce the Systemic Fragility Index (SFI) and the Systemic Hazard Index (SHI) as firm-specific measures, which allow us to identify systemically relevant firms during the financial crisis.

scholarly journals Revealing asymmetric spillover effects in hazelnut, gasoline, and exchange rate markets in Turkey: The VECM-BEKK-MGARCH approach

2020 ◽  
pp. 5-5
Author(s):  
Emine Askan ◽  
Faruk Urak ◽  
Abdulbaki Bilgic
Keyword(s):  
Exchange Rates ◽  
Granger Causality ◽  
Spillover Effects ◽  
Statistical Testing ◽  
The Other ◽  
Causality Tests ◽  
Short And Long Term ◽  
Exchange Rate Markets ◽  
Two Sectors

The study used the VECM-BEKK-MGARCH method to model the volatility transmission between the markets of gasoline, exchange rates, and the hazelnut market for the period of 21.07.2005-20.3.2018. The suitability of the VECM-BEKK-MGARCH method was confirmed by statistical testing. The changes in hazelnut prices were not affected by the changes in the prices or final values in the other two sectors (Granger causality). Moreover, the Granger causality tests revealed that, while the change in the gasoline market was not affected by the other two markets, the change in the exchange rates market was affected by the other two markets. Furthermore, especially the volatilities (long-term uncertainties) of the markets were affected by both their own short- and long-term volatilities and other sectors? short- and long-term volatilities. It was shown that the long-term swings in these three markets were affected by the cross-interaction in the markets. Additionally, as opposed to the case in the positive news, it was observed that pieces of negative news about the markets affected the markets.

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