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Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
Pelsser, Antoon - 2002
In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...
Persistent link: https://www.econbiz.de/10010325024
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Contingent reserves management: An applied framework
Caballero, Ricardo; Panageas, Stavros - 2005
point with a simple quantitative hedging model, where optimally used options and futures on the S&P100's implied volatility … seldom sufficient and always expensive to hold. In this paper we argue that adding richer hedging instruments to the …
Persistent link: https://www.econbiz.de/10010280879
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Liquidity constrained exporters: Trade and futures hedging
Broll, Udo; Wahl, Jack E. - 2009
liquidate the futures position. We show that preferences and expectations become important for optimumexport and hedging …
Persistent link: https://www.econbiz.de/10010301364
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The Extreme Risk Problem for Monetary Policies of the Euro-Candidates
Gabrisch, Hubert; Orlowski, Lucjan T. - 2010
Wir argumentieren, dass die Geldpolitik in den Euro-Kandidatenländern darauf abzielen sollte, die exzessive … Instabilität in den zentralen Ziel- und Instrumentenvariablen der Geldpolitik zu mildern, insbesondere in Phasen turbulenter … Zentralbanken wären daher gut beraten, neben den üblichen Instrumenten der Geldpolitik auch unorthodoxe Maßnahmen der Geldpolitik …
Persistent link: https://www.econbiz.de/10010271402
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Transparency in the Interbank Market and the Volume of Bank Intermediated Loans
Broll, Udo; Eckwert, Bernhard - 2004
In this paper we study the impact of more transparency in the interbank market on the volume of bank intermediated loans and on the profitability of the banking business. Transparency is modeled by means of the informational content of publicly observable signals correlated to the random...
Persistent link: https://www.econbiz.de/10010296785
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …
Persistent link: https://www.econbiz.de/10012040134
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Who bears interest rate risk?
Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; … - 2018
We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately...
Persistent link: https://www.econbiz.de/10011916880
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Why do banks bear interest rate risk?
Memmel, Christoph - 2017
This paper investigates determinants of banks' structural exposure to interest rate risk in their banking book. Using bank-level data for German banks, we find evidence that a bank's exposure to interest rate risk depends on its presumed optimization horizon. The longer the presumed optimization...
Persistent link: https://www.econbiz.de/10011772544
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …
Persistent link: https://www.econbiz.de/10012142086
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Hedging Price Risk When Real Wealth Matters
Adam-Müller, Axel F. A. - 1999
This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts … noise, cross hedging and speculating on the real risk premium are conflicting objectives; the level of relative risk …
Persistent link: https://www.econbiz.de/10010324032