Longevity hedge effectiveness: A decomposition [PDF]
, 2013 We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely ...
Andrew J.G. Cairns +6 more
core +2 more sources
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition [PDF]
, 2011 This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various ...
Benet +29 more
core +3 more sources
Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon [PDF]
, 2008 This study investigates optimal hedge ratios in all base metal markets. Using recent hedging computation techniques, we find that 1) the short-run optimal hedging ratio is increasing in hedging horizon, 2) that the long-term horizon limit to the optimal ...
Dewally, Michael, Marriott, Luke
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THE DYNAMIC HEDGING EFFECTIVENESS FOR SOYBEAN FARMERS OF MATO GROSSO WITH FUTURES CONTRACTS OF BM&F [PDF]
Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F is calculated through optimal hedge determination, using the bivariate GARCH BEKK model, which considers the conditional correlations of the prices ...
Caldarelli, Carlos Eduardo +1 more
core +4 more sources
Time Varying Risk Aversion: An Application to Energy Hedging [PDF]
, 2009 Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk ...
Cotter, John, Hanly, Jim
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Hedging Effectiveness under Conditions of Asymmetry [PDF]
, 2011 We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts.
Fishburn P., Jim Hanly, John Cotter
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Hedging in Field Theory Models of the Term Structure
, 2002 We use path integrals to calculate hedge parameters and efficacy of hedging in a quantum field theory generalization of the Heath, Jarrow and Morton (HJM) term structure model which parsimoniously describes the evolution of imperfectly correlated forward
Andrew Matacz +14 more
core +1 more source
IAS 39 Hedge Accounting e Interest Rate Risk Management [PDF]
The object of this paper is to investigate the role of interest rate risk measures set out in an immunization theory framework for the control of the hedge effectiveness test, as specified in IAS 39.
Andrea Gheno, Carlo Domenico Mottura
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Hedging the exchange rate risk in international portfolio diversification : currency forwards versus currency options [PDF]
, 2003 As past research suggest, currency exposure risk is a main source of overall risk of international diversified portfolios. Thus, controlling the currency risk is an important instrument for controlling and improving investment performance of ...
Maurer, Raimond, Valiani, Shohreh
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Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract [PDF]
This paper investigates the hedging effectiveness of the Standard & Poor’s (S&P) 500 stock index futures contract using weekly settlement prices for the period July 3rd, 1992 to June 30th, 2002.
Aristeidis Samitas +2 more
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