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One asset does not fit all : inflation hedging by index and horizon
D'Amico, Stefania; King, Thomas B. - 2023
We examine the inflation-hedging properties of various financial assets and portfolios by estimating simple time … 30 years. There is no one-size-fits-all approach to inflation hedging: the optimal hedge depends on the particular types … - 2022, many historical hedging relationships failed, as monetary policy tightening lagged inflation. …
Persistent link: https://www.econbiz.de/10014249866
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Hedging interest rate risk using a structural model of credit risk
Huang, Jing-Zhi; Shi, Zhan - 2016
corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … improvement in hedging effectiveness …
Persistent link: https://www.econbiz.de/10011810957
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Interest rate risk estimation : a new duration-based approach
Bajo, Emanuele; Barbi, Massimiliano; Hullier, David - In: Applied economics 45 (2013) 19/21, pp. 2697-2704
Persistent link: https://www.econbiz.de/10010189364
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The effect of hedging with financial derivatives on firm value at Indonesia stock exchange
Frensidy, Budi; Mardhaniaty, Tasya Indah - In: Economics and finance in Indonesia : EFI 65 (2019) 1, pp. 20-32
Persistent link: https://www.econbiz.de/10012305810
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Bank interest rate risk management
Vuillemey, Guillaume - In: Management science : journal of the Institute for … 65 (2019) 12, pp. 5933-5956
Persistent link: https://www.econbiz.de/10012146909
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A view inside corporate risk management
Bodnar, Gordon M.; Giambona, Erasmo; Graham, John R.; … - In: Management science : journal of the Institute for … 65 (2019) 11, pp. 5001-5026
Persistent link: https://www.econbiz.de/10012125860
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019 - This version: June 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10012040065
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10011975602
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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/10011901434
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Hedging securities and Silicon Valley Bank idiosyncrasies
Kim, Raymond - In: The journal of futures markets 44 (2024) 4, pp. 653-672
Persistent link: https://www.econbiz.de/10014536665