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 …

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments … the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the …