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Market Risk When Hedging a Global Credit Portfolio

Chamizo, Alvaro - 2019

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the …, the implied adjustments in capital charges could be reduced by the mentioned hedging strategy, and we show that there is … volatility are high. Increases in VIX, in the 10-year swap rate or in liquidity risk tend to decrease hedging efficiency …

Persistent link: https://www.econbiz.de/10012894134

Hedging U.S. Metals & Mining Industry’s Credit Risk With Industrial and Precious Metals

Umar, Zaghum - 2019

This study examines the conditional correlation and the resulting optimal hedge ratios between the Credit Default Swap (CDS) spreads of the U.S. metal and mining industries, and the prices of copper, platinum, silver and gold using the daily date from December 14, 2007 to August 18, 2018. It...

Persistent link: https://www.econbiz.de/10012864310

Hedging with Credit Derivatives in Response to Operational Risk in Supply Chain Hierarchical

Hu, Nan - 2018

In this paper, using newly available CDS positions data compiled from DTCC and the supply chain hierarchical position obtained from networking methodology, we examine whether and how investors can use CDS contracts to manage the heightened operational risk due to upstream supply chain...

Persistent link: https://www.econbiz.de/10012929386

How Does Hedge Designation Impact the Market's Perception of Credit Risk?

Anbil, Sriya - 2018

Non-financial corporations typically cite risk management as the primary reason for their derivatives use. If hedging …

Persistent link: https://www.econbiz.de/10012937051

Hedging the Counterparty Credit Risk of an Oil Company with Oil Futures Using Dynamic GARCH – A Derivative's Approach to Right-Way Risk

Lehrbass, Frank - 2014

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

Persistent link: https://www.econbiz.de/10013061102

Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten

Krones, Julia; Cremers, Heinz - 2012

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

Persistent link: https://www.econbiz.de/10009576035

Hedging brevity risk with mortality-based securities

MacMinn, Richard D.; Richter, Andreas - 2006

-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 …

Persistent link: https://www.econbiz.de/10010441547

Distressed equity offeringsby German corporations

Jostarndt, Philipp - Universität <München> / Fakultät für Betriebswirtschaft - 2007

For a sample of 267 financially distressed German corporations, I analyze firms'decision to recapitalize by raising fresh equity. I find evidence consistent with thehypothesis that wealth transfers from owners to creditor resulting from a costlydebt overhang present a potential impediment to a...

Persistent link: https://www.econbiz.de/10005869355

Financial distress, corporate control,and management turnover

Jostarndt, Philipp - Universität <München> / Fakultät für Betriebswirtschaft - 2006

In this study we empirically investigate the effect of financial distress on cor-porate ownership and control. Our analysis is based on a panel of 267 Germanfirms that suffered from repeated interest coverage shortfalls and steep share pricedeclines between 1996 and 2004. We track each firm's...

Persistent link: https://www.econbiz.de/10005869365

Modellierung desKreditrisikos im Portfoliofall

Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance & Management - 2009

The current financial market crisis has impressively demonstrated the importance of aneffective credit risk management for financial institutions. At the same time, the use and thevaluation of credit derivatives has been widely criticised as a result of the crisis. Over the pastdecade, credit...

Persistent link: https://www.econbiz.de/10008695277