Concepedia

Basis Risk Forecasting

Basis Risk Forecasting is a methodological framework in financial risk management that specifically models and predicts the uncertainty arising from misalignments between the price of a hedging instrument and the underlying exposure, distinguishing it from general risk forecasting by its focus on the basis component of hedging effectiveness.

30

Publications

1.5K

Citations

60

Authors

38

Institutions

Publications per year

2017–2026

9

Parents

Publications

30

Measuring Basis Risk in Longevity Hedges

Johnny Siu-Hang Li, Mary R. Hardy · North American Actuarial Journal · 2011 · 236 citations

, , +15

The basis risk of catastrophic-loss index securities

J. David Cummins, David Lalonde, Richard D. Phillips · Journal of Financial Economics · 2003 · 196 citations

, , +14

How basis risk and spatiotemporal adverse selection influence demand for index insurance: Evidence from northern Kenya

Nathaniel Jensen, Andrew G. Mude, Christopher B. Barrett · Food Policy · 2018 · 140 citations

, , +17

Longevity Hedging 101

Guy Coughlan, Marwa Khalaf-Allah, Yijing Ye et al. · North American Actuarial Journal · 2011 · 137 citations · Full text

, , +16

<scp>Weather Derivatives and Weather Risk Management</scp>

Patrick L. Brockett, Mulong Wang, Chuanhou Yang · Risk Management and Insurance Review · 2005 · 112 citations

, , +17

1–5 of 30

Authors

60

  1. AJ
    Andrew J. G. Cairns

    Heriot-Watt University, United Kingdom

    3 publications · 208 citations

    3

    h-index

  2. KD
    Kevin Dowd

    University of Nottingham, United Kingdom

    3 publications · 208 citations

    3

    h-index

  3. DB
    David Blake

    City, University of London, United Kingdom

    3 publications · 208 citations

    3

    h-index

  4. JS
    Johnny Siu‐Hang Li

    University of Waterloo, Canada

    3 publications · 75 citations

    2

    h-index

  5. MG
    Mark G. Castelino

    Rutgers, The State University of New Jersey, United States

    2 publications · 142 citations

    2

    h-index

1–5 of 60

Institutions

38

  1. University of Waterloo

    Waterloo, Canada

    3 h-index

    7 publications

    593 citations

  2. Georgia State University

    Atlanta, United States

    2 h-index

    2 publications

    225 citations

  3. Cornell University

    Ithaca, United States

    2 h-index

    3 publications

    222 citations

  4. Friedrich-Alexander-Universität Erlangen-Nürnberg

    Erlangen, Germany

    2 h-index

    3 publications

    39 citations

  5. Rutgers, The State University of New Jersey

    New Brunswick, United States

    2 h-index

    2 publications

    142 citations

  6. International Livestock Research Institute

    Nairobi, Kenya

    2 h-index

    4 publications

    362 citations

  7. Morgan Stanley (United States)

    New York, United States

    2 h-index

    2 publications

    37 citations

  8. City, University of London

    London, United Kingdom

    2 h-index

    6 publications

    260 citations

1–8 of 38

Venues

  1. North American Actuarial Journal

    NAAJ · 3 publications · 402 citations

    3

    h-index

  2. Journal of Futures Markets

    3 publications · 160 citations

    3

    h-index

  3. SSRN Electronic Journal

    Repository · 3 publications · 82 citations

    3

    h-index

  4. Journal of Risk & Insurance

    2 publications · 25 citations

    2

    h-index

  5. The Journal of Fixed Income

    2 publications · 37 citations

    2

    h-index

1–5