Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models
forms part four of the Market Risk Analysis four volume set. Building on the three previous …

This paper investigates out-of-sample performance of the naïve hedging strategy relative to
that of the minimum variance hedging strategy, in which the covariance parameters are …

Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in
Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics …

This study highlights the link between stock return volatility, operating performance, and
stock returns. Prior studies suggest that there is a 'low volatility'anomaly, where firms with a …

This study investigates whether the more sophisticated GARCH based models are better
minimum variance hedging strategies than the less sophisticated regression based …

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and
Trading Financial Instruments forms part three of the Market Risk Analysis four volume set …

The main purpose of this comprehensive study is to determine the optimal hedge ratios and
hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST) …

This paper presents an empirical comparison of the out of sample hedging performance
from naïve and minimum variance hedge ratios for the four largest US index exchange …

Risk and return are two fundamentals that have an impact on an investor's or hedger's
investing choices. Based on the proposed synchronous movement intensity index, this …