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The Assessment of Hedge Effectiveness [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2012 Earnings volatility can be a significant source of concern for a company, putting pressure on its capital base and share price. Prudent management of the company’s exposure to different risks typically involves hedging solutions. Hedging is important for
Cristina BUNEA-BONTAS
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Has COVID-19 Changed the Hedge Effectiveness of Bitcoin? [PDF]
Frontiers in Public Health, 2021 The Bitcoin market has become a research hotspot after the outbreak of Covid-19. In this paper, we focus on the relationships between the Bitcoin spot and futures.
Yinpeng Zhang, Panpan Zhu, Yingying Xu
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Hedging Effectiveness Under Conditions of Asymmetry [PDF]
SSRN Electronic Journal, 2006 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. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR).
Cotter, John, Hanly, Jim
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Longevity hedge effectiveness: a decomposition [PDF]
Quantitative Finance, 2011 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 related to the correlation between the value of the hedge and the value of the pension liability.
Cairns, Andrew +3 more
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Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market
Borsa Istanbul Review, 2022 The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures ...
Goknur Buyukkara +2 more
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On hedge effectiveness assessment under IFRS 9
Audit Financiar, 2018 IFRS 9 has introduced certain radical changes to the hedge effectiveness assessment criteria of IAS 39 for entities desirous of availing hedge accounting.
Jatinder Pal Singh
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Issues on Hedge Effectiveness Testing [PDF]
SSRN Electronic Journal, 2009 The starting point for risk management and hedging lies in understanding a corporation’s exposure to different risks. Hedging is vital for corporate risk management, involving reducing the exposure of the company to particular risks. Hedge effectiveness testing permits firms to assess if they match the timing of the gains and losses of hedged items and
Bunea-Bontaş, Cristina Aurora +2 more
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Hedge Ratio and Hedging Effectiveness in Indian Currency Futures Markets
Финансы: теория и практикаThe purpose of the study is to assess the efficacy of diverse hedge ratios computed using three econometric models: OLS, VECM, and BEKK-GARCH model.
N. Agrawal, P. Srinivasan
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Impacts of El Niño southern oscillation on hedge strategies for Brazilian corn and soybean futures contracts [PDF]
Revista de Economia e Sociologia Rural, 2022 : Climate influences the variations in soybean and corn prices; thus, we assessed the relationship between the El Niño Southern Oscillation (ENSO) with soybean-to-corn price ratio to determine potential impacts on price risk management.
George Lucas Máximo Ferreira +2 more
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Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon [PDF]
Journal of Risk and Financial Management, 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 hedging ratio is not converging to one but is slightly higher for most of these markets, and 3) that
Dewally, Michael, Marriott, Luke
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