We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …, the implied adjustments in capital charges could be reduced by the mentioned hedging strategy, and we show that there is …

stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …

-linked securities. It considers the trade-offs an insurer or reinsurer faces in selecting a hedging strategy. We compare index and … indemnity-based hedging as alternative design choices and ask which is capable of creating the greater value for shareholders … problem yields a conflict of interest between shareholders and other stakeholders. Given the fact that hedging may improve the …

the superior instrument regarding hedging systematic market component risk on single-name and portfolio level. Finally, an …

Non-financial corporations typically cite risk management as the primary reason for their derivatives use. If hedging … programs are effective, then firms using derivatives should have lower credit risk than those that do not. Consistent with this … idea, we find that CDS spreads are lower for firms with derivatives positions that are designated as accounting hedges …