We analyze hedging strategies that minimize tail risk measured by Value-at-Risk (VaR) or Conditional …-Value-at-Risk (CVaR). In particular, we derive first-order conditions characterizing VaR- and CVaR-minimal hedging with futures in regime …-switching models. Using cross-hedging examples, we theoretically and empirically demonstrate that tail-risk-minimal strategies can …

This study analyzes the interaction effects of corporate hedging activities of electric utility firms facing a manifold … risk exposure consisting of several market price risks. We employ 16 recent introductions of markets for trading … electricity derivatives as a quasi-natural experiment. The results show that electric utilities generally favor domestic markets …

I study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect … correlation between the underlying fund and the proxy asset used for hedging, has a highly negative impact on the hedging … performance. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company …

interest rate exposure. Moreover this study finds that there is a significant relationship between the use of derivatives and …Derivatives are the major icon among risk management practices. Firms usually use derivatives to hedge their foreign … exchange and interest rate risk. This study aims to examine the determinants' of corporate hedging policies and derivative …

-type process and provide closed-form derivatives prices and hedges, also in the presence of an analogous CIR process for interest …

option compensation affects the hedging behavior of oil and gas firms. Firms that did not expense options before FAS 123R … significantly reduced option pay, which resulted in a large increase in their hedging intensity compared to firms that did not use …

The widespread practice of managers speculating by incorporating their market views into firms' hedging programs … (“selective hedging”) remains a puzzle. Using a 10-year sample of North American gold mining firms, we find no evidence that … selective hedging is more prevalent among firms that are believed to possess an information advantage. In contrast, we find …

Purpose – This study develops a non-traditional measure of risk, an Exposure-Based Volatility, for the non … applied in order to provide a reliable Exposure-Based Volatility measure. The empirical analysis is applied on a particular … Bulgarian transport company.Findings – The current analysis concludes that the proposed measure of exposure-based volatility …

This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account … that hedging strategies -- such as the transfer of longevity risk -- may increase the overall risk while decreasing … gives conditions under which hedging policies become inefficient …

We study corporate hedging during the 2007-2008 financial crisis. We find that hedging programs are fragile. Firms … whose lenders suffered losses on their mortgage portfolios were more likely to lose access to over-the-counter derivatives … existing lines of credit, and saving more out of realized cash-flows. Terminations of hedging programs decreased firm value by …