Dynamic hedging strategies
Cutting edge: valuing and dynamically hedging natural gas storage
Original headline:
Source: Energy Risk
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...
Published online only
Source: Life & Pension Risk
Old Mutual questions the lack of capital credit for dynamic hedging in QIS 5
Published online only
Source: Energy Risk
A substantial number of mining companies refuse to have a hedging programme, leaving them vulnerable to a possible sharp drop in prices
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More Dynamic hedging strategies articles
A dynamic model for leveraged funds
Published online only
Source: Risk magazine
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 takes dynamic strategies to UK IFAs
Published online only
Source: Structured Products
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...
ETF & Indexing Report: So simple
Published online only
Source: Structured Products
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...
Energy structured deals: dynamic vs quasi-static hedging
Published online only
Source: Energy Risk
Traditional pricing and hedging approaches often fail to work properly for complex energy structures due to market incompleteness, liquidity problems or unusual price dynamics. In this article, Stefano Fiorenzani suggests some specific adjustments...
Corporate statement: Rise of the clone
Published online only
Source: Structured Products
Focus on replication strategies has increased significantly over the course of 2009. In this article, Citi explains the practical applications of the Hybrid Absolute Return Portfolio index and how investors can benefit from using this investment strategy...
Absolute return strategies
Original headline:
Source: Risk magazine
Investment banks are making use of their quantitative expertise and client knowledge to innovate algorithmic strategies that rival products typically offered by hedge funds. Shane Edwards, head of pricing & structuring at RBS Global Banking & Markets...
Currency Derivatives House of the Year - Deutsche Bank
Original headline:
Source: Risk magazine
Deutsche Bank is the two-tonne elephant in the currency derivatives market, but that has not stopped it from being swift with new innovations and developing cutting-edge products. This year, its continued dedication to new ideas has ensured it has remained...
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