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 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
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...
A conservative yet flexible jet fuel hedging programme has proven successful for Etihad
Elevated WTI prices, pushed up by regional unrest, are creating opportunities for US oil producers to hedge
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...
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
Brent crude oil offers a window for airlines and refiners to lock in prices, but opportunity won’t last forever, say analysts
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.