Hedging
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
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
On optimizing risk exposures with trend-following strategies in currency overlay portfolios
This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
Enterprise risk management powers up at utilities
Revived focus on ERM, but expectations now more realistic on what it can achieve
Plastics hedging rising amid US chemical industry boom
Several obstacles limiting potential growth, say plastics market participants
Cargill sees growth in plastics hedging
Swaps unit of commodity trading giant describes increasing need for derivatives on resins prices
Simulating meaningful uncertainty for complex energy portfolios
The meaningful uncertainty simulation framework can enable energy firms to make better decisions
Banks ‘hurting, but not dead’ after Brexit shock
Last-gasp hedges may have eased the pain of Brexit for some banks
Deal of the year: Morgan Stanley
Deal enables Gulf Power to be first utility in Florida to buy wind power
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
Stochastic receding horizon control for short-term risk management in foreign exchange
The authors of this paper formalize a methodology to manage short-term FX risk.
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
NSFR to hike hedging costs for end-users, industry warns
Costs could increase by 10–15%, House Agriculture Committee hears
How to get maximum value from power plant hedging
Dynamic hedging is becoming more common among plant operators
Liability-side pricing of swaps
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
New hedging tools needed in the Philippines, says SEC
New derivative structures under consideration but caution is key
FVA sceptics lose ground in valuation debate
Market needs to move on from theoretical argument and focus on numbers
Sovereign risk manager of the year: SHCP
Mexico hedged against the oil price collapse while diversifying its debt investor base
Cutting Edge introduction: No more shortfalls?
Academics develop expected shortfall backtest to compare standardised and internal models