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| Tekijä: | Fehle, F. Tsyplakov, S. |
| Otsikko: | Dynamic risk management: theory and evidence |
| Lehti: | Journal of Financial Economics
2005 : OCT, VOL. 78:1, p. 3-47 |
| Asiasana: | financial models hedging risk management transaction costs |
| Kieli: | eng |
| Tiivistelmä: | Am infinite-horizon, continuous-time model of a company that can dynamically adjust the use of risk management instruments which seek to reduce product price uncertainty and thereby mitigate financial disstress losses and reduce taxes is presented and tested in this paper. The dynamic setting relaxes several restrictive assumptions common to static models. In the model, the company can adjust its use and the hedge ratio and maturity of risk management instruments over time, risk management instruments expire as time progresses, the available maturity of the risk management instruments is shorter than the lifetime of the company, and transaction costs are associated with initiation and adjustment of risk management contracts. |
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