Regulations impose idiosyncratic capital and funding costs for holding derivatives. Idiosyncratic costs mean that no single measure makes derivatives martingales for all market participants. Chris K...
Industry calls for more clarity on hedging exemption
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Hedging articles
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...
End-users will hedge more with firms such as BP, Shell and Vitol as banks face ban on prop trading, say market participants
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, ...
Basis risk continues to worry pension funds, consultants say, despite the latest attempt by Deutsche Bank to create a flexible index-based longevity hedge
More energy importing countries are in talks about hedging fuel purchases after Morocco’s sovereign hedging deal, say bankers
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.