Hedge ratio
Kyriba sees uptake in AI-assisted FX hedging tools
Automated data collection and cleaning helps corporates create better hedges and has cut unexplained P&L moves by 87%, says vendor
Trump’s tariff threats fuel corporate FX hedging revamp
Treasurers mull options and longer-dated hedges in face of mixed signals on extent and timing of measures
Banks, vendors mine AI for corporate FX hedging
New machine learning algos can help corporate clients adjust hedging ratios, but tech’s effectiveness is limited by data quality, experts caution
Corporates eye FX options as hedging costs shrink
With hedge ratios tipped to rise, dealers say treasurers are increasingly open to optionality
Fears over strong dollar put Asia’s hedgers on edge
Local corporates look to manage US dollar exposures in response to inflation and Fed tapering concerns
Optimal weights and hedge ratio behavior in Brent oil and Islamic Gulf stock markets
This paper examines the dynamics and spillover behavior between time-varying optimal weights and hedge ratios in order to analyze optimal volatility allocation spillover and characteristic structure.
MVA: Forecasting initial margin for client trades and dynamic hedges
In its latest margin survey, the International Swaps and Derivatives Association reported that initial margin (IM) collected by the top 20 firms increased by 22% to $130.6 billion at the end of 2017. As new transactions become subject to IM requirements,…
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
Dynamic gas models make for better hedges
Study highlights dwindling role of weather in market
Optimal hedge ratios based on Markov-switching dynamic copula models
In this paper, the authors combine MS dynamic copulas with the skewed t SV model to study the optimal hedge ratios of portfolios.