operating flexibility and hedging are substitutes for liquidity management …

spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of … investors, policy makers and portfolio managers. The key findings of this study are critical in formulating optimal hedging …

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

market factors, its volatility and the quality of hedging. The wrong way risk is most significant for exposures highly … CVA hedging strategy. While the benefits from hedging are always magnified in the situation of the wrong way risk, the …

extent when having high export and import shares simultaneously. We interpret this finding as evidence of operational hedging … that arises when foreign-denominated revenues and costs match, crowding out financial hedging. Our identification strategy …

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional …) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current note …

diversification and hedging effectiveness. Although our results are indicative of crude oil hedging strategies, they also testify the …

sector indices: dy-namic models and risk hedging, the probability of default in collateralized credit oper-ations, risk …