Search results for "derivati"
showing 10 items of 1360 documents
Credit derivatives disclosure in banks’ risk reporting: Empirical evidence from four large European banks
2019
This paper aims to analyze the derivatives disclosure in banks’ annual risk reports. In this paper, the author uses content analysis to examine the qualitative and quantitative profiles of the derivatives disclosure at a cross-country level, with particular reference to credit derivatives. The empirical research is conducted on a sample of large European banks. The paper also shows that there is room to improve various aspects of derivatives disclosure, and provides some useful insights for further research. The derivatives disclosure in banks’ annual risk reports has deep managerial, financial, regulatory and accounting implications at a firm and industry levels, and the comprehension of t…
Rolling over stock index futures contracts
2009
Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, I…
The timeline of trading frictions in the European carbon market
2012
We evaluate the quality of prices of EU-ETS, the most active European derivative market for greenhouse gas emissions allowances (EUAs). So far, this market has had two phases, a trial phase (from 2005 to 2007) and a commitment phase (from 2008 to 2012). The true value of a trial-phase EUA at the beginning of 2008 was inevitably zero because it could not be used in the commitment phase to cover emission targets. However, continued rumors of over-allocation of EUAs led to an early collapse of the market by May 2007. We study whether this market breakdown and the subsequent outbreak of the international financial crisis had a persistent effect on the quality of the commitment phase. We provide…
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
2010
Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …
A critical view on temperature modelling for application in weather derivatives markets
2012
In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated on daily average temperature records from Stockholm (Sweden). By comparing the proposed model with the popular model of Campbell and Diebold (2005), we point out some important issues to be addressed when modelling the temperature for application in weather derivatives market.
Temperature and seasonality influences on Spanish electricity load
2002
Abstract Deregulation of the Spanish electricity market in 1998 and the possible listing of electricity or weather derivative contracts have encouraged the study of the relationship between electricity demand and weather in Spain. In this paper, a transfer function intervention model is developed for forecasting daily electricity load from cooling and heating degree–days. The influence of weather and seasonality is proved, and is significant even when the autoregressive effects and the dynamic specification of the temperature are taken into account. The estimated general model shows a high predictive power. The results and information presented in this paper could be of interest for current…
Forecasting Weekly Electricity Prices at Nord Pool
2007
This paper analyses the forecasting power of weekly futures prices at Nord Pool. The forecasting power of futures prices is compared to an ARIMAX model of the spot price. The time series model contains lagged external variables such as: temperature, precipitation, reservoir levels and the basis (futures price less the spot price); and generally reflects the typical seasonal patterns in weekly spot prices. Results show that the time series model forecasts significantly beat futures prices when using the Diebold and Mariano (1995) test. Furthermore, the average forecasting error of futures prices reveals that they are significantly above the settlement spot price at the ‘delivery week’ and th…
Development and Scale-Up of the Electrochemical Dehalogenation for the Synthesis of a Key Intermediate for NS5A Inhibitors
2015
The electrochemical 2-fold dehalogenation of a spirocyclopropane-proline derivative at leaded bronze was scaled-up in a divided batch-type electrolysis cell in good yield and excellent selectivity. The upscaling via a flow electrolysis cell was also successful. Conditions were elaborated employing a single cell passage for complete conversion. The keys here are the direct cooling of the cathode and ensuring a good laminar flow.
On the nature of organic electron density transfer complexes within molecular electron density theory.
2019
The structural features of a series of organic molecular complexes formed between the strong electrophilic tetracyanoethylene and twelve benzene derivatives with increased nucleophilic character, herein called Electron Density Transfer Complexes (EDTCs), have been studied using Molecular Electron Density Theory. The favourable nucleophilic/electrophilic interactions, which favour the global electron density transfer (GEDT) towards the electrophile, are responsible for the formation of these species. Molecular complexes presenting a GEDT above 0.05e are classified as EDTCs. Analysis of the Parr functions of the separated reagents and the topological analysis of the electron density of the ED…
Method development of levoglucosenone analysis by UHPLC-UV-MS in fast pyrolysis samples and aspects of its degradation in aqueous samples
2020
Levoglucosenone ((1S,5R)-6,8-dioxabicyclo[3.2.1]oct-2-en-4-one or LGO; CAS number: 37112-31-5) is an extensively studied biomass based chemical and its potential applications in organic synthesis, as well as in the extraction of various natural substances, have been established; therefore developing dependable, yet fast and simple analytical methods for determining LGO in the products of thermochemical biomass processing is of great importance. In this work different UHPLC methods have been developed and compared for the determination of LGO in wood pyrolysis products. In addition to UV detection, LGO determination conditions by single quadrupole mass spectrometry have been adjusted with an…