Research Findings from Pescara Update Understanding of Risk Management (The Volatility of the “Green” Option-Adjusted Spread: Evidence before and during the Pandemic Period): Insurance – Risk Management

2022 APR 07 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators publish new report on risk management. According to news reporting originating from Pescara, Italy, by NewsRx correspondents, research stated, “The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period.”

Our news reporters obtained a quote from the research from Department of Economic Studies: “To this purpose, after observing the dynamic joint correlations between all the variables, we adopt * * Exponential* * and * * Generalized AutoRegressive Conditional Heteroskedasticity* * models, putting the OAS as dependent variable. Our main results show that the conditional variance parameters are significant and persistent in both times, testifying the overall impact of the other markets on the OAS. In more detail, we highlight that the gamma in the two * * Exponential* * models is positive: so, the ‘green’ credit risk volatility is more sensitive to positive shocks than to negative ones. With reference to the conditional mean, we note that if during the non-pandemic period only the stock market is significant, during the pandemic also conventional bonds and gold are impacting.”

According to the news editors, the research concluded: “To the best of our knowledge this is the first study that analyzes the specific credit risk component of the green bond yields: we deem our findings useful to observe the change of green bonds creditworthiness in a complex market context and interesting in terms of policy implications.”

For more information on this research see: The Volatility of the “Green” Option-Adjusted Spread: Evidence before and during the Pandemic Period. Risks, 2022,10(45):45. (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

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

Our news journalists report that more information may be obtained by contacting Alessandra Ortolano, Department of Economic Studies, “G. d’Annunzio” Chieti-Pescara (Italy), 65127 Pescara, Italy. Additional authors for this research include Eugenia Nissi.

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