hedging with the stock market related VIX derivatives, especially hedging with DJUSRE would have decreased the price … contrast to using DJUSRE, we find that the hedging effectiveness of VIX against direct real estate exposure is trivial. Hence … standard stock market hedge instruments do not provide a safety net for hedging against the price risks in the U.S. real estate …

enjoying the capital benefits of hedging the credit risk in their mortgage portfolios. In comparisons of hedging effectiveness … losses of a reference mortgage pool. We argue that these derivatives would enable banks to retain whole loans while also …

rated countries. We analyze hedging strategies for bond portfolios with futures on German and Italian government bonds … before and during the sovereign debt crisis and evaluate their out-of-sample hedging effectiveness. Before the crisis, German … futures were efficient instruments for hedging government bond portfolios, but during the crisis, a composite hedge combining …

, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …

We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options … single-stage model with currency options for selective hedging of FX risks, while market risk is addressed only through … risk management. Simultaneous hedging of market and FX risks using stock and currency options yields the best ex …

, real estate has lagged behind. Now is the time to expand the range of tools available for hedging households’ risks and …