Dynamic hedging strategies
A conservative yet flexible jet fuel hedging programme has proven successful for Etihad
In this paper, Christian-Oliver Ewald, Roy Nawar and Tak Kuen Siu study the performance of locally risk-minimising hedging strategies in the context of futures and options written on crude oil. In contradiction...
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios....
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Dynamic hedging strategies articles
In this article, Ning Zhang and Robert Cumbie propose a utility maximisation method for natural gas marketers to find optimal hedging strategies to deal with price and load uncertainty by using price and weather derivatives. Monte Carlo simulation...
Natural gas storages are integral parts of gas distribution systems and play a key role in managing demand variations. Risk managers need to value storages on a daily basis, while traders face the challenge of effectively hedging storages. Ali Sadeghi...
Old Mutual questions the lack of capital credit for dynamic hedging in QIS 5
A substantial number of mining companies refuse to have a hedging programme, leaving them vulnerable to a possible sharp drop in prices
Guido Giese derives a model for the performance and Sharpe ratio of leveraged and inverse index funds that follow a dynamic leveraged trading strategy, that is, they are rebalanced on a daily basis to ensure a constant degree of leverage with respect...
SIP Nordic’s UK arm and RBS are bringing structured products to independent financial advisers throughout the UK, with a focus on educating them about the products and the potential benefits they bring to a portfolio. Clare Dickinson talks to managing...
Exchange-traded funds were lauded a couple of years ago as simple products with low fees, features that should make them appeal to one and all. But as the market has developed in a bifurcated fashion - there are physically-backed as well as derivative-based...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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