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Hedge Effectiveness Forecasting [PDF]

, 2008
This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly computed ...
Dahlgran, Roger A., Ma, Xudong
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EVALUATION OF HEDGE EFFECTIVENESS TESTS

Journal of Derivatives Accounting, 2005
According to IAS 39 or FAS 133 an a posteriori test for hedge effectiveness has to be implemented when using hedge accounting. Both standards do not regulate which numerical method has to be used. A number of hedge effectiveness tests have been published recently.
Hailer, Angelika C., Rump, Siegfried M.
exaly   +2 more sources

A combined analysis of hedge effectiveness and capital efficiency in longevity hedging

Insurance: Mathematics and Economics, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Matthias Börger, Arne Freimann, Jochen Ruß   +2 more
openaire   +1 more source

The Feedback Effect of Hedging in Illiquid Markets

SIAM Journal on Applied Mathematics, 2000
Summary: This paper analyzes the influence of dynamic trading strategies on the prices in financial markets. After a thorough discussion of the modeling issues involved we derive the modification of the stochastic process of the underlying asset that follows from the presence of dynamic trading strategies.
Paul Wilmott, Philipp J. Schönbucher
openaire   +2 more sources

On hedge effectiveness and risk decomposition

Proceedings of the IEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering (CIFEr) (IEEE Cat. No.99TH8408), 2003
A new approach to hedge accounting in the US as prescribed by the Statement of Financial Accounting Standards No.133 will be applicable to all fiscal years beginning June 1999. The Financial Accounting Standards Board requires both ex-ante and ex-post assessment of hedge effectiveness.
Alvin Kuruc, Bernard Lee, Alastair Wilkins   +2 more
openaire   +1 more source

Test of the Effectiveness of Hedging

Journal of Political Economy, 1965
FUTURES markets have been analyzed in two apparently different ways for the purpose of evaluating their efficiency for hedging purposes. The different approaches purport to reflect different concepts of hedging. The main objective of this article is to examine the relationship between the two testing procedures and to consider the adequacy of the tests
R. H. Snape, B. S. Yamey
openaire   +1 more source

Hedge Effectiveness Testing as a Screening Mechanism for Hedge Accounting

Journal of Accounting, Auditing & Finance, 2014
Accounting for financial instruments has been subject to much controversy, particularly accounting practices related to derivatives held for hedging purposes. For cash flow hedges, poor matching may result when fair-value accounting is prescribed for the hedging instrument and historical cost is prescribed for the assets that generate the “highly ...
Dennis Frestad, Leif Atle Beisland
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Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding

1972
Optimal hedging level, minimum-risk hedging level, and hedging effectiveness are defined in a manner consistent with portfolio theory and used to analyze hedging potential in cattle feeding. Estimated upper limits on optimal hedging levels ranged from 0.56 to 0.88 unit of short futures per unit of four types of slaughter cattle produced at five ...
Heifner, Richard G., Heifner, Richard G.
openaire   +3 more sources