Download or read book The Effects of Derivatives on Firm Risk and Value written by Söhnke M. Bartram and published by . This book was released on 2019 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a large sample of non-financial firms from 47 countries, we examine the effect of derivative use on firm risk and value. We control for endogeneity by matching users and non-users on the basis of their propensity to hedge. We also use a new technique to estimate the effect of omitted variable bias on our inferences. We find strong evidence that the use of financial derivatives reduces both total risk and systematic risk. The effect of derivative use on firm value is positive but more sensitive to endogeneity and omitted variable concerns. However, hedging with derivatives is associated with significantly higher value, abnormal returns, and larger profits during the economic down-turn in 2001-2002, suggesting firms are hedging downside risk.
Download or read book The Relationship Between the Use of Derivatives and Firm Value Under Different Economic Cycles written by Yazhuo Yu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis explores the effect of derivative usage for hedging on firm value. By using a quarterly dataset of North American firms from 2000 to 2017, I examine whether the use of derivatives for hedging adds firm value. I focus on derivatives used for hedging rather than the generalized use of derivatives. Hedging can be an effective method of risk management and active risk management can lead to an increase in firm value. Firms are classified as ineffective speculators (IS firms) and effective hedgers (EH firms) based on their risk exposures before and after the use of derivatives. I add the economic cycles as another factor that might affect the effect of hedging on firm value. The results indicate that the use of derivatives for hedging adds firm value and the effect can last for longer than one year. For smaller firms, the value increase arising from hedging is more significant than that for larger firms. During economic expansions, hedging adds more value than that during economic recessions.
Download or read book Derivatives Handbook written by Robert J. Schwartz and published by John Wiley & Sons. This book was released on 1997-05-23 with total page 766 pages. Available in PDF, EPUB and Kindle. Book excerpt: Der schlechte Ruf der Derivative gründet sich auf Mißbrauch und das hohe Risiko, das mit diesem oft exotisch wirkenden Finanzinstrument verbunden ist. Sie wollen sich unvoreingenommen, besser informieren? Anhand signifikanter Fallstudien führt dieses Buch Sie unter anderem in Techniken des Risikomanagement und Kontrollstrukturen ein.
Download or read book Derivatives written by Robert E. Whaley and published by John Wiley & Sons. This book was released on 2007-02-26 with total page 962 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
Download or read book The Influence of Derivatives Usage on Firm Value written by Zhangwei Lu and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In contemporary business management, an increasing number of firms use derivative instruments to hedge financial risks, including interest rate, foreign exchange rate and commodity price risk. Such hedging activities add to firm value by alleviating market imperfections, the presence of which provides an incentive to hedge. However, derivative instruments can also be used for speculation as well as hedging, magnifying risk and potentially reducing firm value. An awareness of the effectiveness of derivatives usage during various economic periods or in various industries, is also of value and can ultimately result in better hedging and even speculation strategies. In this thesis, we investigate non-financial firms in seven developed countries from 2007 to 2016, and apply fixed effects regression analysis, propensity score matching and difference-in-difference models to examine the relationship between derivatives usage and firm value. The impact of different categories of derivatives usage on firm value is found to differ by country. In particular, although the use of interest derivatives is found to damage firm value worldwide, currency derivative usage appears to increase firm value except in the US and Germany, while the use of commodity derivatives is shown to add to firm value firm only in Germany and Australia.
Download or read book Introduction to Derivative Securities Financial Markets and Risk Management an Third Edition written by Robert A Jarrow and published by . This book was released on 2024-07-06 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
Download or read book Financial Derivatives written by Rob Quail and published by John Wiley & Sons. This book was released on 2003-03-20 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Financial Derivatives" - Jetzt neu in der 3. komplett überarbeiteten Auflage! Dieses umfassende Nachschlagewerk bietet eine gründliche Einführung in das Thema Finanzderivate und ihre Bedeutung für das Risikomanagement im Unternehmensumfeld. Es vermittelt fundierte Kenntnisse zum Thema Finanzderivate, und zwar mit einem verständlich gehaltenen Minimum an Finanzmathematik, was Preisbildung und Bewertung angeht. Mit einer breitgefächerten Übersicht über die verschiedenen Arten von Finanzderivaten. Mit neuem Material zu Kreditderivaten und zur Kreditrisikobewertung bei Derivaten. Mit neuen und ausführlicheren Informationen zu den Themen Finanztechnik und strukturierte Finanzprodukte. "Financial Derivatives" - Ein unverzichtbarer Ratgeber für alle Finanzexperten im Bereich Risikomanagement.
Download or read book The Impact of Derivatives on Firm Risk written by Wayne R. Guay and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The appropriateness of rules governing the financial reporting of derivatives securities depends critically on corporations' intended purpose for holding these instruments. Empirically, however, little is known about how these instruments impact firms' risk-exposures. This study examines the role of derivative securities in a sample of firms that begins using derivatives. The results are generally consistent with firms using derivatives for hedging purposes, and not for increasing shareholder risk. Firm risk (measured several ways) declines in the first year of derivative use. The realized risk reduction varies across firms as a function of the expected benefits from hedging and the characteristics of the derivatives position held. Finally, the decision to initiate a derivatives-based risk- management program is positively related to firms' expected benefits from hedging.
Download or read book The Impact of Derivatives on Firm Risk written by Wayne Robert Guay and published by . This book was released on 1998 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Management written by Satyajit Das and published by John Wiley & Sons. This book was released on 2005-10-14 with total page 1348 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk Management consists of 8 Parts and 18 Chapters covering risk management, market risk methodologies (including VAR and stress testing), credit risk in derivative transactions, other derivatives trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk).
Download or read book Derivatives Risk Management And Value written by Mondher Bellalah and published by World Scientific. This book was released on 2009-10-29 with total page 996 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real time, etc. It explains different applications of these concepts using real world examples. The book also covers topics like financial markets and instruments, option pricing models, option pricing theory, exotic derivatives, second generation options, etc.Written in a simple manner and amply supported by real world examples, questions and exercises, the book will be of interest to students, academics and practitioners alike.
Download or read book Value and Risk Effects of Financial Derivatives written by Rubeena Tashfeen and published by . This book was released on 2016 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates whether there is a relationship between corporate governance and derivatives, whether corporate governance influence in firms impacts the association between derivatives and firm value, and whether corporate governance influence affects the association between derivatives and cash flow volatility, stock return volatility and market risk. This study uses two different data samples of publicly traded firms listed on the New York Stock Exchange. The first sample comprises a panel of 6900 firm year observations and the other consists of a panel of 6234 firm year observations both over the eight-year period from 2004-2011. With regard to whether there is a relationship between corporate governance and derivatives, the findings from the empirical results show that corporate governance does influence derivatives and therefore is an important determinant in the firm's decisions to use derivatives. Of the thirteen corporate governance variables examined, board size, institutional shareholders, CEO age, CEO bonus, CEO salary, insider shareholders and total CEO compensation show significant association with derivatives. This study finds that derivative users exhibit higher firm value on account of the corporate governance influence, which is correspondingly largely insignificant for derivative non-users. Further the research indicates that the impact of corporate governance varies according to the different types of risks examined. Generally, the board of directors and CEO governance mechanisms reduce stock return volatility to achieve hedging effectiveness. This supports the view that directors and management take actions to reduce stock return volatility to protect their personal portfolios without having to bear the costs of hedging themselves. With respect to cash flow volatility, the board of directors and CEO related corporate governance mechanisms largely exhibit increased risk to show evidence of speculative behavior.
Download or read book The Effect of Derivatives Usage on Risk written by Youngsoon Susan Cheon and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of derivative financial instruments has become common among large non-financial firms. Theoretical arguments suggest that firms benefit from the use of foreign exchange derivatives to reduce foreign currency risk exposures, and interest rate derivatives to reduce interest rate risk exposures. However, previously no study empirically tests whether the use of derivatives instruments alters risk exposure. This study tests the relevance of derivatives disclosures and the efficacy of firms use of derivatives to manage risk. We examine the association between (i) levels of derivative usage and risk (quot;levels analysisquot;), and (ii) changes in derivatives usage and changes in risk (quot;changes analysisquot;), while controlling for other factors associated with risk. Derivatives usage is measured by the ratio of notional amount of financial derivatives to the market value of the firm. Foreign exchange and interest rate derivatives activity are examined separately and jointly. Risk is measured by variance of return. The levels analysis finds that levels of foreign exchange derivatives are positively associated with risk, suggesting that higher risk multinational firms use more foreign exchange derivatives. The changes analysis reveals a significant association between increases in usage of foreign exchange derivatives and decreases of risk. This is consistent with non-financial firms effectively using foreign exchange derivatives to reduce foreign exchange risk exposures. No significant association is found between interest rate derivatives usage and risk in either the levels or changes analysis. This is consistent with firms using interest rate derivatives for reasons other than reducing risk exposures, such as efficiently altering capital structures. These tests provide the initial empirical evidence on the effects of changes in derivatives usage on risk and support for the relevance of derivatives disclosures.
Download or read book Introduction To Derivative Securities Financial Markets And Risk Management An Third Edition written by Robert A Jarrow and published by World Scientific. This book was released on 2024-05-03 with total page 763 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
Download or read book Risk Management and Value written by Mondher Bellalah and published by World Scientific. This book was released on 2008 with total page 645 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a high level one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation of financial assets are further studied in detail. The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts and recent literature, academics and risk managers will want to read this book. Sample Chapter(s). Introduction (40 KB). Chapter 1: Managing Derivatives in the Presence of a Smile Effect and Incomplete Information (97 KB). Contents: Managing Derivatives in the Presence of a Smile Effect and Incomplete Information (M Bellalah); A Value-at-Risk Approach to Assess Exchange Risk Associated to a Public Debt Portfolio: The Case of a Small Developing Economy (W Ajili); A Method to Find Historical VaR for Portfolio that Follows S&P CNX Nifty Index by Estimating the Index Value (K V N M Ramesh); Some Considerations on the Relationship between Corruption and Economic Growth (V Dragota et al.); Financial Risk Management by Derivatives Caused from Weather Conditions: Its Applicability for Trkiye (T uzkan); The Basel II Framework Implementation and Securitization (M-F Lamy); Stochastic Time Change, Volatility, and Normality of Returns: A High-Frequency Data Analysis with a Sample of LSE Stocks (O Borsali & A Zenaidi); The Behavior of the Implied Volatility Surface: Evidence from Crude Oil Futures Options (A Bouden); Procyclical Behavior of Loan Loss Provisions and Banking Strategies: An Application to the European Banks (D D Dinamona); Market Power and Banking Competition on the Credit Market (I Lapteacru); Early Warning Detection of Banking Distress OCo Is Failure Possible for European Banks? (A Naouar); Portfolio Diversification and Market Share Analysis for Romanian Insurance Companies (M Dragota et al.); On the Closed-End Funds Discounts/Premiums in the Context of the Investor Sentiment Theory (A P C do Monte & M J da Rocha Armada); Why has Idiosyncratic Volatility Increased in Europe? (J-E Palard); Debt Valuation, Enterprise Assessment and Applications (D Vanoverberghe); Does The Tunisian Stock Market Overreact? (F Hammami & E Abaoub); Investor-Venture Capitalist Relationship: Asymmetric Information, Uncertainty, and Monitoring (M Cherif & S Sraieb); Threshold Mean Reversion in Stock Prices (F Jawadi); Households'' Expectations of Unemployment: New Evidence from French Microdata (S Ghabri); Corporate Governance and Managerial Risk Taking: Empirical Study in the Tunisian Context (A B Aroui & F W B M Douagi); Nonlinearity and Genetic Algorithms in the Decision-Making Process (N Hachicha & A Bouri); ICT and Performance of the Companies: The Case of the Tunisian Companies (J Ziadi); Option Market Microstructure (J-M Sahut); Does the Standardization of Business Processes Improve Management? The Case of Enterprise Resource Planning Systems (T Chtioui); Does Macroeconomic Transparency Help Governments be Solvent? Evidence from Recent Data (R Mallat & D K Nguyen). Readership: Academics and risk managers."
Download or read book The Effects of Derivatives on Firm Financial Risk written by Vikram Finavker and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Derivatives and Internal Models written by Hans-Peter Deutsch and published by Springer Nature. This book was released on 2019-10-08 with total page 897 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools. The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative—both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation. The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader’s own bespoke solutions for valuation and risk management systems.
