Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"Basis risk"”.
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Basis Risk in Variable Annuities
… a comprehensive and practical analysis of basis risk in the U.S. variable annuity market and examines effective fund mapping strategies to mitigate the level of basis risk while controlling for the associated transaction costs. Variable annuities are personal savings and investment products …
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Deep Hedging of basis risk
Basis risk arises when the writer of a contingent claim cannot trade in the underlying asset and must use a correlated proxy asset to hedge the contingent claim. Suppose the proxy asset is not perfectly correlated to the underlying. In that case, there is a risk that the hedge portfolio does not …
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Mortality: modelling, socio-economic differences and basis risk
… pension systems and the management of longevity risk in pension funds and annuity portfolios. This thesis is devoted to the investigation of the trends and financial implications of socio-economic differences in mortality. It comprises three parts. The first part introduces new modelling …
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Basis risk and property derivative hedging in the UK : implications of the 2007 IPF Study of tracking error
This thesis examines how the basis risk affects property derivative hedging in the UK market, based on the tracking error (basis risk) report from the Investment Property Forum study in 2007 (the IPF Study). The thesis first analyzes the risks relevant to hedging and defines the basis risk. …
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Explaining Virginia slaughter cattle basis: an empirical examination of the elements affecting cash price in local Virginia markets
… Econometric models of Virginia slaughter cattle basis were developed for each practical combination of sex and market by differentials in weight, grade, breed, lot size, order of sale of a particular lot, number of cattle in a particular sale, and a seasonal indicator based on the Chicago …
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The Development and Empirical Tests of an Explanatory Model for Daily Changes in The Treasury Bill Cash-Futures Basis
Managing the risk associated with unexpected changes in interest rates is a problem facing borrowers, lenders and fixed income security dealers. Financial instrument futures contracts were created to provide a mechanism to reduce interest rate risk. If the price of the futures contract and the …
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Three essays on agricultural risk and insurance
… theme of this dissertation is agricultural risk and insurance in the United States. Chapter 2 examines welfare effects of the 2002 farm bill programs and yield insurance as well as their impacts on acreage decision of a representative Iowa farmer. Instead of measuring welfare using expected …
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Microfinance and Mobile phones: an economic analysis of the perceptions, management and measurement of environmental risk in rural Kenya
… management and measurement of climate risk within the context of smallholders in Kenya. It makes use of a unique data set comprising of nearly 200,000 adoptions of a pioneering weather index insurance that was bundled with a hybrid seed product and available over several seasons. The …
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The risk management effects of alternative settlement specifications in commodity futures markets
… in a cash settlement index that minimizes basis risk; the value of the weighing scheme will be assessed relative to simple-average weights; (3) to construct an index where locations of the underlying prices are randomly selected in a manner which attempts to maintain a ""consistent"" index …
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Financing methods that drive innovation in biotech and pharmaceuticals : the meagfund [sic] IPO model
… using debt financing can not only mitigate risk in investments in cancer but can also align research and development in the right direction for new and innovative breakthrough therapies. We propose a new application of this megafund biopharma model - the megafund IPO model. There are almost …
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Improving Rainfall Index Insurance: Evaluating Effects of Fine-Scale Data and Interactive Tools in the PRF-RI Program
… benefit the PRF-RI program by reducing spatial basis risk and promoting user education, thus leading to higher user engagement and enrollment.
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Assessing the feasibility of a weather index insurance for the semi-arid region of Brazil
… municipalities proved to have a low level of basis risk. Thirdly, a WII product was designed, priced and evaluated, proving to be effective in decreasing farmers’ downside risk. It is concluded, therefore, that it would be indeed feasible to establish a WII product in the semi-arid region of …
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Risk management with residential real estate derivatives : strategies for home builders
… residential property derivatives to manage risk. After describing a number of alternative reasons for hedging, I argue for a paradigm for risk management proposed by Kenneth Froot, David Scharfstein and Jeremy Stein and augmented by Antonio Mello and John Parsons. According to this paradigm, …
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The probability of nonconvergence and its spatial effects in the hard red winter wheat market
… of the futures market increases a farmer’s basis risk exposure when hedging their grain. A variable storage rate (VSR) mechanism was adopted in 2018 for the hard red winter (HRW) wheat market to prevent nonconvergence. The VSR adjusts the storage rate on delivery instruments dependent upon …
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Quantifying Impacts of Class I Milk Price Formula Reform: A Study of FMMO Uniform Milk Price Volatility and Class I Milk Hedging
… convergence, CME dairy futures were inadequate risk management tools for the packaged milk industry. Seeking to increase convergence between the available CME futures contracts and underlying costs in the packaged milk industry, dairy trade organizations proposed a reformed pricing formula in …
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Evolution of model-driven engineering settings in practice
… techniques) need to be understood to identify risks relating to the productivity impact of MDE. Before studying MDE's impact on productivity, it is necessary to investigate the range of validity that can be reached for the results. This includes two questions. First, there is the question …