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 …

This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives … international activities. In particular, the reduction in the exchange risk borne through the use of natural multi-currency cross-hedging …

the optimal hedge ratio for a multi-national corporate that aims to minimize the cost of hedging at a given tolerance … of hedges, and condensation of the parameters governing hedging decision into a single, intuitively-appealing number. The …