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...
Elevated WTI prices, pushed up by regional unrest, are creating opportunities for US oil producers to hedge
Network Rail is not the average corporate, but it cares about financing and hedging costs as much as any non-financial – which explains a decision to abandon its old collateralisation policy last year....
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
Recent academic studies have shown that, since the mid-1990s, the pass-through of exogenous oil shocks into headline inflation has been increasing, while the pass-through into core inflation seems to have ceased. This paper explores the implications for...
Welcome to the summer 2013 issue of The Journal of Investment Strategies. In this issue you will find four research papers that cover diverse topics: from long-range market modeling to short-term market making. In the first paper of the issue, "The...
Low power prices have dented the need for electricity producers and consumers to hedge with derivatives, while regulatory reform is also making life difficult for market-makers. But market participants are optimistic the trend could be reversed. Pauline...
Power hedging activity could increase with rising prices and greater regional variation across the US
The design and optimisation of a successful commodity hedging programme requires solid backtesting that meets the needs of different business functions. Using a recent case study, Carlos Blanco and Tamir Druz show how various tests can complement and...
Concerns Solvency II-based risk-free curve could be distorted by speculators as market begins to adjust ALM hedges
Returns for hedging via long-term cross-currency swaps are attractive, but few are able to do so because of the lack of credit support annexes in place
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
USA, 9th Dec 2013
USA, 10th Dec 2013
UK, 18th Dec 2013
UK, 12th Feb 2014
UK, 13th Feb 2014
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