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Measuring Loss Potential of Hedge Fund Strategies

Prado, Marcos Mailoc López de; Peijan, Achim - EconWPA - 2005

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and time-...

Persistent link: https://www.econbiz.de/10005134729

Hedge Fund Performance and Persistence in Bull and Bear Markets

Daniel, Capocci; Albert, Corhay; Georges, Hübner - EconWPA - 2004

Hedge Fund Performance and Persistence in Bull and Bear Markets DANIEL P.J. CAPOCCI University of Liege - Economics, Business Administration and Social Sciences A. CORHAY University of Liege - Department of Financial Management; University of Maastricht (formerly University of Limburg) -...

Persistent link: https://www.econbiz.de/10005134919

Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas.

Henrard, Marc - EconWPA - 2004

). The main paper conclusion is that the hedging widely (up to 10\% of the underlying risk) between the model, specially with …

Persistent link: https://www.econbiz.de/10005561565

Did Producer Hedging Opportunities in the Live Hog Contract Decline?

Zanini, Fabio C.; Garcia, Philip - EconWPA - 1997

The paper assesses the usefulness of selective hedging strategies when combined with forecast techniques in the live … hog contract. The use of routine futures and options hedging is not attractive relative to a cash-only strategy. However …, forecasting and hedging can contribute to price risk management improvement for risk-averse producers. Consistent with previous …

Persistent link: https://www.econbiz.de/10005561582

A Comparison of Single Factor Markov-functional and Multi Factor Market Models

Pietersz, Raoul; Pelsser, Antoon - EconWPA - 2005

We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions …. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can …

Persistent link: https://www.econbiz.de/10005561593

Do we understand delta hedging?

Badagnani, Daniel - EconWPA - 2004

We show that the delta-hedged portfolio is not actually risk-free even for brownian underlying due to history dependence in the ammount of hold portfolio. We find this ammount explicitly, as a function of underlying price evolution and option price. This shows that even in the B-S world (perfect...

Persistent link: https://www.econbiz.de/10005561722

Options on a Stock with Market-Dependent Volatility

Chalupa, J. - EconWPA - 1997

position in the stock. For example, delta-hedging involves two deltas, one corresponding to the stock and the other to the …

Persistent link: https://www.econbiz.de/10005134815

International Evidence on Financial Derivatives Usage

Bartram, Sohnke M.; Brown, Gregory W.; Fehle, Frank R. - EconWPA - 2003

This paper presents international evidence on the use of financial derivatives for a sample of 7,292 non-financial firms from 48 countries including the United States. Across all countries, 59.8% of the firms use derivatives in general, while 43.6% use currency derivatives, 32.5% interest rate...

Persistent link: https://www.econbiz.de/10005134828

Corporate Risk Management as a Lever for Shareholder Value Creation

Bartram, Sohnke M. - EconWPA - 2001

Firm value is influenced in many direct and indirect ways by financial risks, which consist of unexpected changes of foreign exchange rates, interest rates and commodity prices. The fact that a significant number of corporations are committing resources to risk management activi-ties is,...

Persistent link: https://www.econbiz.de/10005134866

A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios

Lee, Hsiang-Tai; Yoder, Jonathan - EconWPA - 2005

-varying minimum variance hedge ratios for corn and nickel spot and futures prices. Out-of-sample point estimates of hedging portfolio … variance show that compared to the state-independent BEKK-GARCH model, the RS-BEKK-GARCH model improves out-of-sample hedging …

Persistent link: https://www.econbiz.de/10005407995