Hedging
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
ETF options: the market’s latest credit hedge
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Majority of EU funds’ CDSs are ‘naked’ exposures
Of more than 4,000 CDS positions assessed by Esma researchers, 71% were uncovered
Markets search for FX factor as rates fall flat
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Margin rules snare FX options users
US banks forced to post margin on ‘naked’ trades, with buy-side firms soon to follow
Strike a pose: deal contingents back in vogue after mid-year slump
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
Botched copy: Esma delivers cut and paste pastiche of Trace
Mifid transparency mishmash misses key aspects of US system it emulates, say dealers
Machine learning hedge strategy with deep Gaussian process regression
An optimal hedging strategy for options in discrete time using a reinforcement learning technique
Investors weigh merits of ESG hedging
Opinion divided over proposed tool for transferring risk of non-sustainable activities
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
TSE outage throws structured notes into tailspin
Trading shutdown on October 1 disrupted observation dates for some structured products