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Préférences par rapport au risque et marchés à terme : le cas d'une quantité incertaine
Sévi, Benoît - In: Recherches économiques de Louvain 73 (2007) 2, pp. 217-228
Persistent link: https://www.econbiz.de/10003492329
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Hedging price risk when payment dates are uncertain
Korn, Olaf - 2009 - Current Version: February 2009
This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in … practice. It derives and establishes the variance minimizing dynamic hedging strategy, using forward contracts with different … static hedging strategy is sufficient. -- risk management ; hedging ; forwards ; uncertainty of time …
Persistent link: https://www.econbiz.de/10009526497
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Control without limits : why the "fundamental review of trading books" is a good step forward and how it could go further
Godart, Cyril - In: Journal of risk management in financial institutions 8 (2015) 3, pp. 297-307
Persistent link: https://www.econbiz.de/10011443591
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Hedging pure endowments with mortality derivatives
Wang, Ting; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 238-255
Persistent link: https://www.econbiz.de/10011533915
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Variance swaps, non-normality and macroeconomic and financial risks
Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 257-270
Persistent link: https://www.econbiz.de/10010467548
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Evaluation of the effectiveness of methods of the imperfect hedging of financial options on the Russian forward market
Nazarova, Varvara - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 28-51
Persistent link: https://www.econbiz.de/10010463008
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Probabilistic aspects of financial risk
Föllmer, Hans - 2000
Persistent link: https://www.econbiz.de/10001550562
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Hedging time-varying downside risk
Lien, Da-hsiang Donald - In: The journal of futures markets 18 (1998) 6, pp. 705-722
Persistent link: https://www.econbiz.de/10001249191
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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
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Basis Risk When Hedging a Global Credit Portfolio
Chamizo, Alvaro - 2017
, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …
Persistent link: https://www.econbiz.de/10012944310