Unité mixte de recherche 7235

Hedging residual value risk using derivatives

Sylvain Prado

[en]In the leasing industry the lessor faces a risk, at the end of the contract, in not recovering su¢ cient capital value from resale of the asset. We propose a model to hedge residual value risk using the Gaussian copula methodology. After discussing residual value risk and credit risk modelization, a new derivative product is introduced and analyzed; the Collateralized Residual Values (CRV). The model is applied to an European auto lease portfolio of operating lease contracts pertaining to a major company. Our results indicate that the financial product is easy to customize, and to implement through the contract characteristics and the level of correlation.[/en]

AGENDA

lundi 23 mai 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clara Jean (Grenoble Ecole de Management)

The Value of Your Data: Privacy and Personal Data Exchange Networks

lundi 30 mai 2022

Law, Institutions and Economics in Nanterre (LIEN)

Antoine Dubus (ETH Zurich)

Salle G110

Data Driven Mergers and Acquisitions with Information Synergies

mardi 31 mai 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Juan Pablo Montero (PUC)

TBA

jeudi 9 juin 2022

Lunch

Rémi Generoso

TBA

jeudi 9 juin 2022

Groupe de travail « Intelligence artificielle »

Hugo Le Picard (IFRI)

Salle G614B

Le deep learning au service de l’analyse des énergies renouvelables en Afrique

mardi 14 juin 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Andrew Plantiga (UCSB)

TBA

mercredi 15 juin 2022

Économies du monde musulman

Amel Bouzid (CREAD, Alger)

Natural and Regulatory Underlying Factors of Food Dependency in Algeria

lundi 20 juin 2022

Law, Institutions and Economics in Nanterre (LIEN)

Wilfried Sand Zantman (ESSEC Business School)

Hitting the Right Target? Pricing and Advertising Strategies in Digital Markets

Inscription aux Newsletters