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Persistent link: https://www.econbiz.de/10012020338
To evaluate complex hedging deals from a cost-efficiency perspective, this paper proposes a new hedging-effectiveness measure, the Economic Value of the Incremental Expected Shortfall (EV-IES), which summarizes the costs and benefits of a hedging strategy by taking into account firm-specific and...
Persistent link: https://www.econbiz.de/10012996893