This article introduces an algorithm for tail risk hedging and compares it to other existing methods. This algorithm … 2015 and its performance is compared to cash and options based tail hedging strategies. The cash based methods are shown to … performance from 2003 on due to the increase in cost of puts with respect to calls after that date. The tail hedging technique …

structural, risk management factors. However, the speculative and hedging motives are both present in the IRS market; the latter … variation in analyst forecasts FRA-positions have varied more as well. In the CIRS market domestic banks’ activities of hedging …