products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … credit indices, to answer the following questions: Is there enough diversification of risk in a global credit portfolio to …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is …, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several …

In this article we explore different hedging options for an XVA book: this topic is of practical interest given that … income volatility. Further, capital requirements for counterparty risk-intensive trades have been introduced by the Basel II …-fits-all recipe. We propose to explore the effects of different hedging strategies via discrete-time hedging simulations, which in …

Measures of model risk based on the residual error from hedging in a misspecified model were recently proposed in … (Detering and Packham, 2013). These measures rely on the assumption that the model used for hedging represents a complete … model risk for the original market. If the market can not be completed, as it is the case in most market models that allow …

Derivatives are at the very heart of the recent financial disasters, and the surveillance of their downside risk is of … control the downside risk of derivatives portfolios. We first describe the managerial methods currently used in practice and … their relative cost, and we then show that the most common methods actually aggravate this downside risk.We then argue that …

We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous …

Using a tractable extension of the Leland (1985) model, we study how a delta-hedging strategy can realistically be …

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk … expected returns and very negative downside risk (henceforth "golden strategy") has only been studied if all the involved … multi-asset golden strategies for both the expected shortfall and the expectile risk measure, and shows that the use of …

interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market … the "transmitters" and "receivers" of downside risk. We study the return series of 11 companies and the Food Industry … Mahram Manufacturing is the safest to hedge equity risk, and Glucosan and Behshahr Industries are the riskiest, while Gorji …