Microeconomic risk management and macroeconomic stability /

Microeconomic risk management and macroeconomic stability /

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Bibliographic Details
Author / Creator:	Röthig, Andreas.
Imprint:	Dordrecht ; New York : Springer, c2009.
Description:	1 online resource (xv, 144 p.) : ill.
Language:	English
Series:	Lecture notes in economics and mathematical systems, 0075-8442 ; 625 Lecture notes in economics and mathematical systems ; 625.
Subject:	Risk management -- Econometric models. Hedging (Finance) -- Econometric models. Hedging (Finance) -- Econometric models. Risk management -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/8890437

Hidden Bibliographic Details
ISBN:	9783642015656 3642015654 9783642015649 3642015646
Notes:	Includes bibliographical references (p. 133-144). Description based on print version record.
Summary:	Deals with the impact of diverse hedging policies on macroeconomic stability. This book addresses this issue by employing theoretical as well as empirical methods.
Other form:	Print version: Röthig, Andreas. Microeconomic risk management and macroeconomic stability. Dordrecht ; New York : Springer, c2009 9783642015649 3642015646

Description
Summary:	"The essence of a hedging contract is a coincident purchase and sale in two markets which are expected to behave in such a way that any loss realized in one will be offset by an equivalent gain in the other. If such behavior follows a perfect hedge has been effected. " Hardy and Lyon (1923, p. 276). 1. 1 LiteratureReviewandMotivation In the traditional hedging literature, the two markets in which hedgers trade are spot and futures markets. The trader's position in the spot market is generally considered as given. According to Johnson (1960), hedging can be meaningfully de?ned only if the spot market is regarded as the trader's primary market. The futures market is used solely to counterbalance an existing position in the spot market. Speculators, in contrast, do not have a commitment in the spot market. They take on risk in futures markets in order to pro?t from expected price changes. The hedger synchronizes his trading activities in spot and futures markets in order to reduce spot risk. In the lit- ature this approach to hedging is labeled risk reduction concept. Risk reduction will be achieved if spot and futures prices move more or less in parallel. If prices are p- fectly correlated, risk is abolished, since losses in one market are perfectly offset by pro?ts in the other market. However, as Hardy and Lyon (1923) point out, any div- gence from perfect correlation results in an imperfect hedge.
Physical Description:	1 online resource (xv, 144 p.) : ill.
Bibliography:	Includes bibliographical references (p. 133-144).
ISBN:	9783642015656 3642015654 9783642015649 3642015646
ISSN:	0075-8442 ;