Hedging
LPI swaps with a smile
Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and...
Recent mark-to-market gains on legacy yen-denominated loans make now a tempting time to hedge, according to Thai market players
Insurers are investigating a new breed of fund mechanism – the ICPPI – which allows them to offer individualised guarantees on their products more cheaply and flexibly than other types of funds. But...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Hedging articles
Libor/OIS spread challenges insurers' risk management programmes
Moves to central clearing of many derivatives will mean hedge assets and margin will be valued using the overnight interest rate. Yet insurers’ liabilities are still valued with reference to a Libor rate. For those insurers that are significant users...
Financial transaction tax could raise energy company hedging costs
FTT will increase hedging costs for energy companies and deter them from trading with financial counterparties, firms say
DVA for assets
Debit valuation adjustments are becoming well understood for derivatives and liabilities – but can affect the asset side of the balance sheet too. Specifically, assets such as so-called goodwill depend on the creditworthiness of the firm. Chris Kenyon...
Robust hedging of withdrawal guarantees
Withdrawal guarantees ensure the periodic deduction of a constant dollar amount from a fund for a fixed number of periods. If the fund is depleted before the last withdrawal, the guarantor has to finance the difference. Andreas Kunz derives a robust hedging...
Cutting edge: Hedging price and volumetric risks of fixed-price load...
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...
The art of creating a corporate energy hedging programme
Risk managers and consultants say hedging corporate exposures to energy prices is more art than science. As a result, the development of a truly successful hedging programme requires several important questions to be carefully considered. Jay Maroo reports...
Energy Risk Europe: Austrian Airlines risk manager rails against hedging...
Austrian Airlines risk manager argues fuel hedging delays firms' adaptation to higher costs and should be avoided
Using market and credit risk analytics to strengthen performance
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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