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Commodity Markets: Asset Allocation, Pricing and Risk Management
The increasing presence of investors and financial intermediaries in commodity markets, together with the huge increase in the volatility of commodity prices, have renewed the interest in commodities and commodity derivatives. In the last decade, a better understanding of the behavior of commodity prices and their idiosyncratic statistical features has emerged as a relevant financial and policy topic. This book tries to provide new insights, first, to analyze the multivariate distribution of commodity returns and its impact on portfolio selection and tail risk measures; and, second, to price commodity derivatives under the presence of non-Gaussian shocks in a continuous time framework.
Three Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation
Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Essays on Risk and Uncertainty in Economics and Finance
This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy ...
Sample Size, Skewness and Leverage Effects in Value at Risk and Expected Shortfall Estimation
The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the thesis address issues of greatest interest for the measurement of risk in financial institutions and, therefore, for the supervision of risks in the financial system. They deal with technical issues r...
Commodities
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
Global Financial Stability Report, October 2021
Financial stability risks have been contained so far, reflecting ongoing policy support and a rebound in the global economy earlier this year. Chapter 1 explains that financial conditions have eased further in net in advanced economies but changed little in emerging markets. However, the optimism that propelled markets earlier in the year has faded on growing concerns about the strength of the global recovery, and ongoing supply chain disruptions intensified inflation concerns. Signs of stretched asset valuations in some market segments persist, and pockets of vulnerabilities remain in the nonbank financial sector; recovery is uneven in the corporate sector. Chapter 2 discusses the opportunities and challenges of the crypto ecosystem. Crypto asset providers’ lack of operational or cyber resilience poses risks, and significant data gaps imperil financial integrity. Crypto assets in emerging markets may accelerate dollarization risks. Chapter 3 shows that sustainable funds can support the global transition to a green economy but must be scaled up to have a major impact. It also discusses how a disorderly transition could disrupt the broader investment fund sector in the future.
La financiación de las pyme europeas: su relación con el entorno bancario e institucional
Las pequeñas y medianas empresas (pyme) suelen encontrar grandes dificultades en el acceso a la financiación que necesitan para el desarrollo de su actividad empresarial. Estas empresas, en comparación con aquellas de mayor tamaño, son percibidas como empresas de alto riesgo debido a que sus estados financieros no suelen estar auditados, a la falta de un amplio historial crediticio o a la ausencia de activos que ofrecer como garantías. Estas características agravan las asimetrías informativas y los problemas de agencia y, como consecuencia, las pyme acaban experimentando graves restricciones financieras. Sin embargo, las decisiones de financiación de las pyme no sólo dependen de sus...
