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 …

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

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

-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 …

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