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Gas storage valuation and hedging : a quantification of model risk

Hénaff, Patrick; Laachir, Ismail; Russo, Francesco - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-27

coupled with a financial hedging strategy implemented with futures contracts. The contributions of this paper are two …-fold. Firstly, we propose a model that unifies the dynamics of the futures curve and spot price, and accounts for the main stylized …

Persistent link: https://www.econbiz.de/10011857266

Cross Hedging Under Multiplicative Basis Risk

Adam-Muller, Axel F. A. - 2011

risk with crude oil futures, we show that the new specification is superior in describing the price series and that optimal …

Persistent link: https://www.econbiz.de/10013127850

Hedging Volatility Risk of Exotic Structures Using Variance Derivatives

Zarov, Iliyan Radev - 2012

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model

Persistent link: https://www.econbiz.de/10013113731

Deriving Optimal Portfolios for Hedging Housing Risk

Voicu, Cristian - 2013

housing risk. In order to mitigate this risk, we derive optimal portfolios using CME housing futures. Housing investment risk … is hedged by selling housing futures amounting to the full value of the home. Housing consumption risk is hedged by … buying housing futures in each city where the household might move. The size of the hedges depends on the probability of …

Persistent link: https://www.econbiz.de/10013086753

Deriving the Minimal Amount of Risk Capital for P/L Insurance Companies Utilizing ALM

Schmautz, Matthias - 2013

We present a model for P/L insurance companies based on Asset-Liability-Management (ALM). We show analytically for multivariate normal distributed assets and claims that an overall minimum of the required risk capital can be obtained by refining the firm's asset allocation when including a ruin...

Persistent link: https://www.econbiz.de/10013091567

The VIX Premium

Cheng, Ing-Haw - 2018

Ex-ante estimates of the volatility premium embedded in VIX futures, known as the VIX premium, fall or stay flat when …-post returns to VIX futures with a coefficient near one, and 2) Falling ex-ante premiums predict increasing ex-post market and …

Persistent link: https://www.econbiz.de/10012937777

Hedging Climate Risk

Andersson, Mats - 2016

This paper presents a simple dynamic investment strategy that allows long-term passive investors to hedge climate risk without sacrificing financial returns. We illustrate how tracking error can be almost eliminated even for a low carbon index that has 50% less carbon footprint than its...

Persistent link: https://www.econbiz.de/10013005901

Risk Premia in Option Markets

Madan, Dilip B. - 2015

Risk premia are related to price probability ratios or for continuous time pure jump processes the ratios of jump arrival rates under the pricing and physical measures. The variance gamma model is employed to synthesize densities with risk premia seen as the ratio of the three parameters. The...

Persistent link: https://www.econbiz.de/10013018782

Hedging Stock Sector Risk with Credit Default Swaps

Ratner, Mitchell - 2015

This study examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock market sectors from 2004-2011. Tests of GARCH dynamic conditional correlation coefficients indicate that CDS serve as an effective hedge against risk in all stock sectors. CDS also...

Persistent link: https://www.econbiz.de/10013019344

Option-Based Pricing of Wrong Way Risk for CVA

Kenyon, Chris - 2016

The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are calibration and hedging. Hence we start from a novel model-free worst-case approach based on static hedging of counterparty exposure with liquid options. We say "start from" because...

Persistent link: https://www.econbiz.de/10012986205

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