, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

The vast majority of approaches to risk management, hedging, or portfolio planningassume that some model is given … much too complicated to solve in realisticmodel setups, we furthermore discuss robust hedging strategies determined …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging …

optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded using … relationship. Decompositions of the VA and GMWB contract into term-certain payments and options representing the guarantee and … early surrender features are extended to the binomial framework. We incorporate an approximation algorithm for Asian options …

strategy? Most studies identify four categories of tail risk management strategy: option-based hedging, asset allocation … and that define good tail risk management. Finally, we provide a comprehensive analysis of option-based tail hedging … strategies. The concepts of defensive, offensive, active and indirect tail hedging are discussed at length and examples of each …

futures contracts. We find that a small set of futures traded on major international exchanges are sufficient only for hedging … crucial for hedging their macroeconomic risks. The hedging is more effective in countries where export/import depends less on …

tools available for hedging real-estate risk within the United Arab Emirate financial market are very much in their infancy …