. We develop a term structure model with regime switches, time-varying prices of risk and inflation to identify these …-cyclical (counter-cyclical) and inflation is negatively correlated with real rates. An inflation risk premium that increases with the … of nominal term spreads is due to expected inflation and inflation risk. …

approach return and risk of various rollover option strategies (put hedge; covered short call; collar). In addition to measure …) historique, ils evaluent le possibilites et risques des strategies de hedging par options (put hedge; covered short call; collar … auteurs essaient d´identifier des relations determinantes entre les differents types des strategies de hedging par options …

We analyze hedging strategies that minimize tail risk measured by Value-at-Risk (VaR) or Conditional-Value-at-Risk …-switching models. Using cross-hedging examples, we theoretically and empirically demonstrate that tail-risk-minimal strategies can … nonparametric and extreme-value-theory-based methods. These results imply that the proposed methodology for tail risk management can …

robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …