In this paper we examine the effectiveness of intraday hedging models for credit default swap index trading by means of more liquidly traded exchange-based futures contracts.
Welcome to the fourth issue of the third volume of The Journal of Investment Strategies. In this issue you will find four papers that cover a diverse set of topics: behavioral finance, portfolio opt...
Fears relationship between credit indexes and constituents becoming more tenuous
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Hedging articles
Industry calls for more clarity on hedging exemption
Redress payments still rising for UK banks over unsuitable rate products
Delta Air Lines sees fewer counterparties for bilateral trades
Because of the erosive effects of inflation on real asset returns, inflation hedging is an important issue for medium- and long-term investors such as pension funds, insurance companies and mutual funds....
How to actively manage the value-at-risk of energy derivatives
In this paper, we consider the problem of optimal partial hedging for a contingent claim subject to a preset hedging budget constraint. Under some technical assumptions on the hedged loss function and...
Volume 17, Issue 2, 2013
End-users will hedge more with firms such as BP, Shell and Vitol as banks face ban on prop trading, say market participants
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.