ranging from manufacturing to energy retailing, where risk averse fi rms decide on their hedging strategies before their … product market strategies. We fi nd that hedging modi es the pricing and production strategies of firms. This strategic effect … shareholders risk aversion. It has diametrically opposed impacts depending on the nature of product market competition: hedging …

value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the …We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional …) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …

We model the financing, cash holdings, and hedging policies of a firm facing financing frictions and subject to … cash-flow shocks affects the cash-flow sensitivity of cash, which can be positive or negative. Optimal hedging of permanent …

cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk … outperform other firms, on average, by up to 8.3% per year. At the same time, high-exposure firms perform poorly in periods of …