Pescara Update Research Findings Understanding Risk Management (Spread Volatility Adjusted to ‘Green’ Option: Evidence Before and During Pandemic Period): Insurance

April 07, 2022 (NewsRx) — By a News Reporter – Staff News Editor at Daily Insurance News — Investigators release new risk management report. According to reports from Pescara, Italyby NewsRx correspondents, the research said, “The paper is a survey of the impact of financial markets on the volatility of the credit risk component of green bonds, as measured by the option-adjusted spread/swap curve ( OAS) before and during the pandemic period.”

Our reporters got a quote from the research of Department of Economic Studies“For this purpose, after having observed the dynamic joint correlations between all the variables, we adopt the models * *Exponential* * and * * of Generalized AutoRegressive Conditional Heteroscedasticity* *, by putting the AEO as the dependent variable. Our main results show that the conditional variance parameters are significant and persistent at both times, testifying to the global impact of other markets on the AEO. In more detail, we point out that the gamma in both * *Exponential* * models is positive: thus, the volatility of ‘green’ credit risk is more sensitive to positive shocks than to negative shocks. Referring to the conditional average, we note that while during the non-pandemic period only the stock market is significant, during the pandemic conventional bonds and gold also have an impact.

According to the editors, the study concluded: “To our knowledge, this is the first study that analyzes the specific credit risk component of green bond yields: we find our findings useful for observing the evolution the solvency of green bonds in a complex market context and interesting in terms of political implications.

For more on this research, see: The Adjusted Spread Volatility of the “Green” Option: Evidence Before and During the Pandemic Period. Risks, 2022.10(45):45. (Risks – http://www.mdpi.com/journal/risks). The Risks editor is MDPI SA.

A free version of this review article is available at https://doi.org/10.3390/risks10030045.

Our journalists report that more information can be obtained by contacting Alessandra Ortolano, Department of Economic Studies“G. d’Annunzio” chietiPescara (Italy)), 65127 Pescara, Italy. Other authors of this research include Eugenie Nissi.

(Our reports provide factual information on research and discoveries from around the world.)

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