This article analyzes the importance of supply-side fluctuations for corporate hedging. To establish a causal link, we … Safe Harbor Reform of 2005. Following the reform-induced expansion in the availability of derivatives, fuel hedging by … financially sound airlines. Similarly, we find that the hedging propensity increased in a general sample of non-financial firms …

cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more … contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging …

derivatives for hedging activities. Based on a sample of 300 Malaysian listed companies, we found that only 162 companies (54 …

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 …

We propose a maximum-expected utility hedging model with futures where cash and futures returns follow a bivariate skew … normality, skewness has a material impact when the agent is significantly risk averse. Pure hedging demand is either greater or … pure hedging and minimum-variance demand increases with basis risk, i.e. the imperfect correlation between cash and futures …

its hedging effectiveness. This greater transparency is expected to incentivize firms toward demonstrating greater … effectiveness in their derivatives use for hedging purposes. The literature on the real consequences of derivatives use is limited …, probably due to the difficulty of ascertaining its hedging effectiveness in addition to its purpose, which is made possible …

hedging strategy of high-volume firms. Under certain conditions, high-volume firms signal their type by hedging more than they … would under their first-best strategy. In general, high-volume firms signal by taking on excess risk through derivative …, while low-volume firms only use forwards. The model suggests that heterogeneous and prima facie non-optimal hedging policies …