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Using data on 5,491 commercial banks in the USA that were operational between 2001 second quarter and 2016 first quarter, the present study aims to examine the impact of derivative securities and its different constituent categories on bank-specific risks and profitability.

The study uses panel data fixed effects model and Bayesian model averaging techniques.

This study finds aggregate derivatives and both interest-rate and exchange-rate derivatives and their different constituent categories to reduce banks insolvency risks for the entire time period and the pre-crisis era. Moreover, aggregate derivatives increase banks’ risk-adjusted return on assets that are driven by exchange-rate derivatives. Such findings are robust to the size of banks, the degree of derivative use and extent of profitability. However, in the post-crisis period, derivatives reduce bank profits.

While the results largely provide evidence of the beneficial effects of derivatives, the findings for the post-crisis period are rather concerning. It underscores a clear need to improve regulation and supervision across different categories of derivatives to ensure the benefits exceed their costs for banks.

Disaggregate analysis of derivatives can not only unmask important differences in how they affect banks risks, profits, etc. but also help banks mitigate risks arising from specific types of derivative securities banks hold. Furthermore, discerning the impact of derivatives on banks risks and profits in the post-crisis era vis-à-vis the pre-crisis one is extremely important to restore a sounder banking system and foster overall financial stability.

This paper aims to overcome the main obstacle to compare the merits of the different control strategies for fixed-wing unmanned aerial vehicles (UAVs) to assess autopilot performances. Up to now, the published studies of control strategies have been carried out over disperse models, thus being complicated, if not impossible, to compare the merits of each proposal. The authors present a worked benchmark for autopilots studies, consisting of generalized models obtained by merging UAVs’ parameters gathered from selected literature (journals) with other parameters directly obtained by the authors to include some relevant UAVs whose models are not provided in the literature. To obtain them it has been used a dedicated software (from U.S. Air Force).

The proposed models have been constructed by averaging both the main aircraft defining parameters (model derivatives) and pole-zero locations of longitudinal transfer functions. The suitability of the used methodologies has been checked from their capability to fit the short period and the phugoid modes. Previous analytical model arrangement has been required to match a uniform set of parameters, as the inner state variables are neither the same along the different published models nor between the additional models the authors have here contributed. Besides, moving models between the space state representation and transfer function is not just a simple averaging process, as neither the parameters nor the model orders are the same in the different published works. So, the junction of the models to a common set of parameters requires some residual’s computation and transient responses assessment (even Fourier analysis has been included to preserve the dominance of the phugoid) to keep the main properties of the models. The least mean squares technique has been used to have better fittings between SISO model parameters with state–space ones.

Both the SISO (Laplace) and state-space models for the longitudinal transfer function of an “averaged” fixed-wing UAV are proposed.

More complicated situations, such as strong wind conditions, need another kind of models, usually based on finite element method simulation. These particular models apply fluid dynamics to study aerostructural aircraft aspects, such as flutter and other aerolastic aspects, the behavior under icing conditions or other distributed parameter problems. Even some models aim to control other aspects than the autopilot, such as the trajectory prediction. However, these models are not the most suitable for the basic UAV autopilot design (early design), so they are outside the objective of this paper. Obviously, the here-considered UAVs are not all the existing ones, but the number is large enough to consider the result as a reliable and realistic representation. The presented study may be seen as a stepping stone, allowing to include other UAVs in future works.

The proposed models can be used as benchmarks, or as a previous step to produce improved benchmarks, in order to have a common and realistic scenario the compare the benefits of the different control actions in UAV autopilots continuously presented in the published research.

A work with the scope of the presented one, merging model parameters from literature with other (often referred in papers and websites) whose parameters have been obtained by the authors has been never published.

The goal of this paper is to give a comprehensive and short review on how to compute the first- and second-order topological derivatives and potentially higher-order topological derivatives for partial differential equation (PDE) constrained shape functionals.

The authors employ the adjoint and averaged adjoint variable within the Lagrangian framework and compare three different adjoint-based methods to compute higher-order topological derivatives. To illustrate the methodology proposed in this paper, the authors then apply the methods to a linear elasticity model.

The authors compute the first- and second-order topological derivatives of the linear elasticity model for various shape functionals in dimension two and three using Amstutz' method, the averaged adjoint method and Delfour's method.

In contrast to other contributions regarding this subject, the authors not only compute the first- and second-order topological derivatives, but additionally give some insight on various methods and compare their applicability and efficiency with respect to the underlying problem formulation.

The paper aims to conduct an empirical study of three models of property derivatives: index-based derivatives, factor hedges, and combinative hedges based on index and factors. The objective is to test whether the latter two models introduced by Lecomte dominate the index-based model used for existing property derivatives such as EUREX futures contracts.

Based on investment property database (IPD) historical database covering 224 individual office properties from 1981 to 2007, the study assesses ex ante hedging effectiveness of the three models. Nine simulations are run under different hypotheses involving individual buildings and portfolios. The 17 factors included in the study cover both macro-factors (e.g. macroeconomic indicators) and micro-factors linked to the properties (e.g. age).

Atomization and periodic rebalancing of property derivatives' underlying make it possible to substantially increase hedging effectiveness for a large majority of buildings in the sample. However, combinative hedges are overall superior to factor hedges owing to the overriding role played by IPD indices in capturing risk.

Due to confidentiality requirements inherent to the use of property level data, the study downplays the role of micro-factors on real estate risk at the property level.

The paper introduces a typology of optimal hedges aimed at individual property owners and portfolio holders in the City office property market.

This is the first time a comprehensive analysis of different models of property derivatives is conducted. The value of the paper stems from the use of property level data.

Amid benign monetary policy in mature market countries and high liquidity‐induced demand, lower risk premia have encouraged risk diversification into alternative asset classes outside the scope of conventional investment. The development of derivative markets in emerging economies plays a special role in this context as more institutional money is managed on a global mandate, with more and more capital being dedicated to emerging market equity. This paper aims to focus on these issues.

This paper reviews the recent development of equity derivative markets in emerging Asia and informs a critical debate about market practices and prudential supervision. Goal of the paper is also to outline essential elements and key policy considerations in developing derivative markets.

The supervision of emerging derivative markets depends on the expedient and tractable resolution of challenges arising from consistent risk management, risk mutualization, and prudential standards that guarantee market stability in crisis situations. In particular, further efforts are needed in areas of cash market liquidity, trading infrastructure as well as legal and regulatory frameworks based on a set of coherent principles for capital market development.

The paper offers a comprehensive set of principles for the development of equity derivative markets based on the current state of equity derivative trading in emerging Asia. Given current efforts by national regulators in the region to implement comprehensive guidelines on derivatives and revise short selling restrictions, the scope of this paper has topical appeal from the perspective of market participants and regulators.

The purpose of this paper is to examine the extent of systemic risk and competition in over‐the‐counter (OTC) derivatives dealing. Using derivatives‐related failures during the 1990s, the authors draw conclusions that are pertinent to the recent financial market turmoil involving OTC derivatives.

The authors use the event‐study methodology with crude dependence adjustment to examine the wealth effect for the involved derivatives dealers. The authors re‐estimate the parameters using the market‐adjusted model to check for robustness. In addition, a multivariable regression framework was used to estimate the determinants of the abnormal returns.

OTC derivatives dealers experience negative returns when their clients announce derivatives losses. In contrast, rival dealers uninvolved in the loss event exhibit positive returns. The extent of the positive returns for the rival dealers grows as new events unfold, and the dealers continue to steer clear of derivatives trouble. A broader industry portfolio of securities brokers, dealers, and advisors is affected negatively, indicating possible industry contagion. The cross‐sectional analysis of the abnormal returns indicates the presence of information (and not pure) contagion implying that in a financial crisis involving derivatives systemic failure is not likely.

The authors extend the literature by examining an exhaustive set of derivatives loss events. The sample includes a more diverse set of derivatives dealers and it spans a longer time period than prior studies did. This is also the first study confirming the distorting impact of the “too big to fail” and “federal safety net” phenomena in the context of OTC derivatives dealing.

Motivated by the acoustics of motor vehicles, a coupled fluid–solid system is considered. The air pressure is modeled by the Helmholtz equation, and the structure displacement is described by elastodynamic equations. The acoustic–structure interaction is modeled by coupling conditions on the common interface. First, the existence and uniqueness of solutions are investigated, and then, after recalling fundamental notions of shape optimization, the tensor form of the distributed shape derivative is obtained for the coupled problem. It is then applied to the minimization of the sound pressure by variation of the structure shape through the positioning of beads.

The existence and uniqueness of solutions up to eigenfrequencies are shown by the Fredholm–Riesz–Schauder theory using a novel decomposition into an isomorphism and a compact operator. For the design optimization, the distributed shape derivative is obtained using the averaged adjoint method. It is then used in a closed 3D optimization process of the position of a bead for noise reduction. In this process, the C++ library concepts are used to solve the differential equations on hexahedral meshes with the finite element method of higher order.

The existence and uniqueness of solutions have been shown for the case without absorption, where the given proof allows for extension to the case with absorption in the domain or via boundary conditions. The theoretical results show that the averaged adjoint can be applied to compute distributed shape derivatives in the context of acoustic–structure interaction. The numerical results show that the distributed shape derivative can be used to reduce the sound pressure at a chosen frequency via rigid motions of a nonsmooth shape.

The proof of shape differentiability and the calculation of the distributed shape derivative in tensor form allows to consider nonsmooth shapes for the optimization, which is particularly relevant for the optimal placement of beads or stampings in a structural-acoustic system.

The purpose of this study is to investigate the benefits of using a more diverse derivative strategy of a fund in relation to their performance and risk characteristics.

In this study, samples of 3,382 individual hedge funds and 761 funds of hedge funds are used to analyse risk in derivative strategies.

The results of the study are consistent with the hypotheses that the diversity of derivatives strategy can be related to increased probability of suffering large losses and weaker performance. These awkward characteristics related to the diversity are particularly apparent for the fixed‐income arbitrage strategy. Funds of hedge funds differ from hedge funds as they are more likely to use derivatives for risk management.

This study presents new evidence on the relation between derivative use and fund performance. In this study, a new measure of the diversity of a derivative strategy is considered, which is the number of derivatives used by a fund.

This paper aims to analyze the statistical characteristics of changes in property forward prices. As highlighted in a survey conducted at the MIT Center for Real Estate in 2006, the relatively weak understanding in their prices is one of the most important barriers in their use. In this context, the analysis of the forward price term structure is essential. Do the short- and long-term forward prices behave similarly? Do property derivatives behave like other derivative assets or other related assets? This study also investigates the lead–lag relationship between spot and forward returns for different maturities.

Using four years and nine months of data on the UK Investment Property Databank (IPD), all property total return swaps are examined. We strip the swaps into their forwards and study their statistical characteristics (the first four moments and their autocorrelation levels). The relationships among the forward contracts, the underlying asset (IPD index and IPD unsmoothed) and other assets (risk-free rate, listed real estate) are explored. Using the Yiu et al. (2005) methodology, the lead–lag relationship between the spot and the forwards is assessed.

The index appears to be significantly less volatile and less efficient, in terms of correlation than its own derivative contracts. Moreover, changes in forward prices are leading indicators of the IPD index. Their risks tend to converge with the implied volatility of the REIT’s operating asset but without being affected by the general stock market risks. Regarding the forward price–discovery function, investors should collect information not only from the spot market but also, maybe primarily, from the derivative market.

In this paper, we use a never-exploited database that is relative to the quotes of the UK IPD swaps. It is the first attempt to analyze the statistical characteristics of their changes. Our results show that these prices are clearly superior to the spot series, in terms of risks but without behaving affected by the tyranny of the past values. These findings may conduct to consider new methods to unsmooth current real estate indices. Characterized by a strong sensitivity to the changes in the information set, property derivative-based indicators should lead to increased efficiency in the spot market.

The purpose of this study is to analyze the perception of accountants in relation to the complexity of accounting for financial instruments and in relation to the disclosure of financial instruments in annual reports. Both aspects are relevant for the external users, and for the firms’ internal management.

The database comprises questionnaires answered by accountants from Brazil and Chile. Data were analyzed based on reliability statistics and multivariate regression analysis.

The main results indicate that accountants perceive the accounting for derivatives, hedge accounting, fair value measurement of financial instruments and the respective disclosure of these operations as a complex issue. These findings are interesting considering that there are detailed accounting standards relating to financial instruments.

The results indicate that education and gender affect the perception of complexity about accounting of derivatives.

Findings from this research show that accountants do perceive derivatives as complex items for accounting, particularly accounting for hedges.

The results can motivate some initiatives for training activities and for teaching academic content about financial instruments in undergraduate courses.

To the best of the authors’ knowledge, this is the first study that tests some personal characteristics of accountants (namely, professional experience, education and gender), in contrast to their perceptions about complexity of accounting for derivatives.