Hedging
Flexi forwards see rise in corporate interest post-Covid
Treasurers seek flexibility in cashflow hedging as pandemic-related supply chain disruptions bite
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Going it alone: Lombard Odier steers clear of investing crowd
Research head Tabachnik says strategies like intraday momentum are victims of their own popularity
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
Podcast: Barclays’ Ben Burnett on how banks can implement HVA
New valuation adjustment may lead to more efficient management of derivatives books
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
The cost of hedging XVA
HVA is framed consistently with other valuation adjustments
Industry group backs wider use of term Sonia in derivatives
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Deep hedging strays when volatility gets rough – study
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
GFXC sees no changes to code on pre-hedging
Committee rejects calls to set more strict boundaries to controversial practice
Put options power up variable annuities
Insurance quants increase risk-adjusted profits using novel hedging technique
Impact of hedging strategies on variable annuities
Put options may reduce the cost of hedging strategies for insurers
Callable repack frenzy opens up new options market in Europe
Demand driven mainly by French life insurers looking for alternatives to low-yielding sovereign bonds
Optimal foreign exchange hedge tenor with liquidity risk
The authors develop an optimal currency hedging strategy that allows fund managers who own foreign assets to choose the hedge tenors that will maximize their foreign exchange carry returns within a liquidity risk constraint.
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
A verification model to capture option risk and hedging based on a modified underlying beta
This paper analyzes the relationship between option risk and expected return from the perspective of the underlying beta, and estimates the degree of correlation.
Banks boot up next-gen FX hedging bots
Automated FX hedging can save money and time, proponents argue. But corporates have qualms
Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Quants pitch strategies for when bonds no longer work
Investors are flocking to alternative diversifiers of equity risk
Hedging adviser of the year: Rothschild
Risk Awards 2021: restructuring effort helped Arqiva to slash its derivatives exposures by 40%
Hedging valuation adjustment: fact and friction
Transaction costs’ impact on hedging can now be quantified
Nasdaq held Aas portfolio for nine months after blow-up
Swedish regulator reveals CCP’s decision to keep defaulted power portfolio – and claims it was not fully hedged
ECB grants post-Brexit reprieve on large exposures limit
Exemption for intra-group exposures to UK will be preserved pending a decision on equivalence