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...
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
More Hedging articles
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
Will corporate hedgers suffer if more banks pull back from energy and commodities trading? Pauline McCallion examines the issue of dealer retrenchment from the market
US Airways, which has stood out from the rest of the airline industry in recent years because of its refusal to hedge fuel costs, wants to hire someone to run a fuel hedging programme. The airline denies that it is reversing its stance on fuel hedging,...
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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