Treasurers seek flexibility in cashflow hedging as pandemic-related supply chain disruptions bite
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Research head Tabachnik says strategies like intraday momentum are victims of their own popularity
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
New valuation adjustment may lead to more efficient management of derivatives books
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
HVA is framed consistently with other valuation adjustments
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
Committee rejects calls to set more strict boundaries to controversial practice
Insurance quants increase risk-adjusted profits using novel hedging technique
Put options may reduce the cost of hedging strategies for insurers
Demand driven mainly by French life insurers looking for alternatives to low-yielding sovereign bonds
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.
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
This paper analyzes the relationship between option risk and expected return from the perspective of the underlying beta, and estimates the degree of correlation.
Automated FX hedging can save money and time, proponents argue. But corporates have qualms
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Investors are flocking to alternative diversifiers of equity risk
Risk Awards 2021: restructuring effort helped Arqiva to slash its derivatives exposures by 40%
Transaction costs’ impact on hedging can now be quantified
Swedish regulator reveals CCP’s decision to keep defaulted power portfolio – and claims it was not fully hedged
Exemption for intra-group exposures to UK will be preserved pending a decision on equivalence