derivatives transactions in Mexico along with customs data to construct a unique data set on operational exchange rate exposure … and financial hedging. We find that contrary to a rational and frictionless benchmark, performance in previous derivatives …Even though financial risk management has the ability to generate value, the use of financial derivatives among …

-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher … likelihood of bank distress makes banks reduce their on-balance sheet interest rate exposure and simultaneously intensify their … compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …

for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios …-line controlling and monitoring of derivatives portfolio. The portfolios should be designed in a way that risk and return be quantified …

-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. Hausman … the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap use …

Since their first introduction in 1996, weather derivatives have been a topic of discussion. The ongoing climate change … these risks, including rainfall risk. The purpose of this work is to evaluate the use of rainfall derivatives to create a … Monte Carlo simulations, based on a model capable of simulating daily rain. Then, rainfall derivatives are applied to the …

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …, the implied adjustments in capital charges could be reduced by the mentioned hedging strategy, and we show that there is …

We analyze hedging strategies that minimize tail risk measured by Value-at-Risk (VaR) or Conditional …-Value-at-Risk (CVaR). In particular, we derive first-order conditions characterizing VaR- and CVaR-minimal hedging with futures in regime …-switching models. Using cross-hedging examples, we theoretically and empirically demonstrate that tail-risk-minimal strategies can …

This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account … that hedging strategies -- such as the transfer of longevity risk -- may increase the overall risk while decreasing … gives conditions under which hedging policies become inefficient …