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Do Large Hedgers and Speculators React to Events? A Stability and Events Analysis
Gurrib, Ikhlaas - 2021
Using CFTC’s COT data, this letter analysed whether large hedgers and large speculators were influenced by major economic events of the 1990s. Eight major economics events are looked at over 10-year period, and findings support that these informed players were hardly affected by major events....
Persistent link: https://www.econbiz.de/10013224489
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Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V. - 2019
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10012898392
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Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises
Caporin, Massimiliano - 2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging … is hedged. Hedging strategies of currency risk, using exchange rates futures and driven by several multivariate GARCH … decrease in hedging rations compared to naïve hedging strategies based on linear regressions or variance smoothing …
Persistent link: https://www.econbiz.de/10013074792
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V.; Gündüz, Yalin; Johnson, Timothy C. - 2021
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10013222131
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Explaining foreign holdings of Asia's debt securities : the Feldstein-Horioka paradox revisited
Horioka, Charles; Terada Hagiwara, Akiko; Nomoto, Takaaki - 2015
In this paper, we find that home bias is still present in all economies and regions, especially in the case of short-term debt securities, but that there are substantial variations among economies and regions in the strength of home bias, with the Eurozone economies, the US, and developing Asia...
Persistent link: https://www.econbiz.de/10011379708
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Volatility connectedness on the Central European forex markets
Albrecht, Peter; Kočenda, Evžen - 2023
robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …
Persistent link: https://www.econbiz.de/10014414188
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Integrated Dynamic Models for Hedging International Portfolio Risks
Topaloglou, Nikolas - 2018
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 …
Persistent link: https://www.econbiz.de/10012924570
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Basis Risk in Hedging a CDS Portfolio with Credit Indices
Chamizo, Alvaro - 2017
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 …
Persistent link: https://www.econbiz.de/10012970402
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Explaining Foreign Holdings of Asia's Debt Securities : The Feldstein-Horioka Paradox Revisited
Horioka, Charles Yuji - 2015
In this paper, we find that home bias is still present in all economies and regions, especially in the case of short-term debt securities, but that there are substantial variations among economies and regions in the strength of home bias, with the Eurozone economies, the US, and developing Asia...
Persistent link: https://www.econbiz.de/10013012122