In this thesis I develop a model for describing the dynamic behavior of Credit Migration Matrices under a Point-in-time Rating Philosophy. Characteristics of the yearly Migration Matrices following a Point-in-Time Philosophy are presented. Through the introduction of the concept of Rating...

The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation adjustment (CVA) might become increasingly difficult should the long-standing correlation between singlename and index CDS products break down. So, we provide an estimation of the...

The present paper attempts to identify the ways that the United Arab Emirate listed companies manage their financial risk with the use of derivatives. By examining the companies' annual reports and financial reviews for the year 2015. The studied revealed that low use of the financial...

The challenge in long volatility strategies is to minimize the cost of carrying such insurance due to negative roll yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that provides substantial protection against market crashes,...

In this tutorial article, the strategies available to hedge market risks arising from different financing instruments are explained. Financial derivatives, whether futures or options have been widely applied in companies to mitigate or eliminate potential losses due to the uncertainty in...

Traditional life insurance policies offer no equity investment opportunities for the premium paid, and suffer from low returns over the long insurance terms. Modern equity-linked insurance policies offer equity investment opportunities exposed to equity market risk. To combine the low-risk of...

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...