Derivatives pricing and expected exposure models must be backtested as a basic regulatory requirement. But what does this mean exactly, and how can it be used to reserve against model risk? Lee Jackson...
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their...
Basis risk continues to worry pension funds, consultants say, despite the latest attempt by Deutsche Bank to create a flexible index-based longevity hedge
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 Hedging articles
More energy importing countries are in talks about hedging fuel purchases after Morocco’s sovereign hedging deal, say bankers
Falling over-the-counter energy volumes in Europe and the US push liquidity to top of risk management agenda
Regulator introduces new risk monitor to scrutinise market risks and act as early-warning indicator
We present an alternative approach to hedging in incomplete markets. A corresponding alternative risk-minimization algorithm that identifies an optimal hedging portfolio consistent with initial capital and an investor-chosen risk criterion is developed....
Farid AitSahlia Warrington College of Business Administration, University of Florida The global financial crisis of 2007-8 illustrated the shortcomings of several modeling approaches in a dramatic fashion. Chief among these shortcomings are the bond-like...
A conservative yet flexible jet fuel hedging programme has proven successful for Etihad
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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