further exacerbated by income volatility caused by international commodity price fluctuations, while directional hedging, as a … favourite policy response, has been both costly and ineffective. We propose efficient and effective volatility hedging … contribution is a dynamic overlay futures hedging strategy with substantial reduction in hedging cost. Second, we account for …

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet … crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas … models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …

products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … credit indices, to answer the following questions: Is there enough diversification of risk in a global credit portfolio to …

, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …

currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic …

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in …

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … ; Futures Markets ; Financial Speculation ; Multivariate GARCH …

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk … decrease the rate at which prices change, yet they impair the risk sharing function and they decrease market liquidity in …