Journal of Investment Strategies

Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study

Cheng-Ran Du and Tim Brunne


We consider the equity and Bund futures as financial instruments to hedge standard 5Y iTraxx Europe Main and Crossover indexes. Our analysis is based on a four-month intraday time series for traded prices and quoted spreads, respectively. We find that a DAX futures based intraday hedging strategy is the most efficient one. While the cross-asset hedging strategy reduces the intraday market risks of iTraxx Europe positions, the overall hedging efficiency is limited.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here