Covariance swaps that track the covariance of assets can be difficult to hedge because there is no known static replication formula, unlike the case for variance swaps. However, in the case of swaps measuring...
RK Mehra, executive director (international trade) at Bharat Petroleum Corporation Limited, talks to Jay Maroo about his company’s commodity hedging programme, corporate hedging in India and the likely...
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More Hedging articles
With an ultimate forward rate-based extrapolation looking very likely for Solvency II, the Royal Bank of Scotland Insurance ALM Advisory team has carried out extensive research on optimal hedge strategies for hedging the Solvency II risk-free rate
Will reduce capital charge by at least 75%, inter-dealer broker claims
Europe’s debt crisis could get worse, and some firms are looking for tail risk hedges in the foreign exchange market – but even magic bullets can backfire. Mark Pengelly reports
The replication of a portfolio of cashflow instruments with another set of cashflow instruments is frequently used in pricing and hedging. For example, replicating deposits with tradable bonds allows the treasurer to determine an approximate fair value...
Loss-making unit's RWAs would have tripled under Basel III, JP Morgan chief executive says - but attempting to cut capital burden made its hedges more complex
Securitisation would be "a lot less viable" if SPVs do not qualify for clearing exemption, says Isda
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.
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