rated countries. We analyze hedging strategies for bond portfolios with futures on German and Italian government bonds … before and during the sovereign debt crisis and evaluate their out-of-sample hedging effectiveness. Before the crisis, German … futures were efficient instruments for hedging government bond portfolios, but during the crisis, a composite hedge combining …

comprising indexed and nominal bonds are tested. The hedging ratios used in these strategies are based on an arbitrage-free model … of the term structure and on a traditional duration measure. Hedging methods are compared according to three perspectives …: impact of the extraction method, hedging methodology, and holding period. It seems that the extraction procedure and hedging …

regulators alike. I show that inventory hedging explains the recent meteoric rise of corporate bond portfolio trading, likely … aided by the recent proliferation of credit index derivatives. To formally study inventory hedging and its implications for … inventory hedging. The model predicts that inventory hedging improves liquidity and transaction costs, and the liquidity benefit …

hedging yield curve risk : an empirical comparison / Nicola Carcano and Hakim Dallo -- Applying error-adjusted hedging to …