cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more … contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging …

This research focuses on the ultimate impact of hedging effectiveness on firm performance. Successful risk management … quarterly earnings per share). We empirically estimate the hedging profile of 5,586 non-financial firms (spanning 25 industries … and other firm characteristics – identifies the impact of the firm's hedging profile on firm performance. We find a strong …

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 …

I study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect … correlation between the underlying fund and the proxy asset used for hedging, has a highly negative impact on the hedging … performance. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company …

-type process and provide closed-form derivatives prices and hedges, also in the presence of an analogous CIR process for interest …

-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 …

effect and (de)leverage effect of Bitcoin inverse futures, and obtain optimal hedging strategies in closed forms for both … empirical studies. Our findings show that the optimal hedging strategies of Bitcoin inverse futures achieve superior hedging …

A hedging contract may be closed before maturity when a firm experiences an ``event of default,'' such as a credit … and show that although the termination right reduces the costs of hedging, it is inefficient because the counterparty …