propose a hybrid scoring model for the assessment of derivative disclosure in banking institutions. The methodology employed … quantitative and qualitative analysis. This article provides evidences that banks differ in their derivative reporting, although …

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 …

for the firms that were heavily relying on FXD hedging. I offer a mechanism in which imbalances in hedging demand, banks …

We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no …