Hedging
Optimising VAR and terminating Arnie-VAR
Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures
Enhancing enterprise value by trading options
This paper considers the problem of enhancing an investment activity by regularly adding an option trade to the portfolio mix and presented results for the single underlier of the S&P 500 index, with the underlying activity being either long the index or…
Asset price bubbles and risk management
The purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies.
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Risk and abnormal returns in markets for congestion revenue rights
This paper develops a novel methodology for estimating the systematic risk of individual financial transmission rights and detecting the presence of abnormal returns among these financial instruments.
EU trading obligation threatens packaged trades
Banks warn they will have to break up packages and face higher costs for hedging
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
Final US position limits rule will take ‘at least a year’
CFTC expected to draft a narrow list of contracts in scope
Malaysian central bank strengthens onshore hedging
Bank Negara is complementing last year's NDF restrictions with a more open onshore market
Stress hedging in portfolio construction
Bilgili, Ferconi and Ulitsky propose a constrained portfolio optimisation approach incorporating stress scenarios
Surprise RMB strengthening prompts unwinds
“A lot of long [US$] positions were unsustainable and had to be re-evaluated,” says forex structuring head
FRTB standardised approach threatens commodity hedging
Basel language would force unnatural treatment of offsetting positions
Beware the pitfalls of right- and wrong-way risk
Credit exposure can be hazardous. Misinterpreting the risks posed can be ruinous
Hedging advisory of the year: Aegis Energy Risk
Energy Risk Awards 2017: Strength in capabilities drives business to Texan advisory
Efficient pricing and super-replication of corridor variance swaps and related products
This paper proposes a method for overhedging weighted variance using only a finite number of maturities.
Insurers’ losses shine light on swaps accounting
FASB seeking to iron out swaps mismatches that hit MetLife, Manulife and others
Exposing the past: oil hedgers prepare for crude volatility
Historic crude price fluctuations make hedging critical. With prices falling across global markets, many exploration and production companies have assessed their risk and are calculating the best way to deal with it – internally and externally
Natural hedges: swapping the City for New Zealand
After a decade in forex sales, Tony Beard now advises a Maori tribe on hedging
Insurers forced to choose between imperfect inflation hedges
Inflation is predicted to rise but hedges against it are getting harder to put in place
FRTB will spark rise in basis risk, firms warned
Dealers using standardised approach may be incentivised to push clients towards less precise hedges
FRTB will spark rise in basis risk, firms warned
Dealers using standardised approach may be incentivised to push clients towards less precise hedges
US year-ahead oil hedging up 9% on 2015: study
Hedging revenue set to plummet in 2017
Energy firms given second escape path from Mifid II
Revival of capital test "a workable solution" for asset-heavy companies
‘Wrong type of liquidity’ spells trouble for energy hedges
Cyclical lull conceals structural shift as liquidity becomes shorter-dated and more flighty