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Contrastive representation learning for self-supervised deception detection in edge LLMs. [PDF]

PLoS One
An F, Tao W.
europepmc   +1 more source

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Measuring the hedging effectiveness of commodities

Finance Research Letters, 2019
Abstract Our study examines the dynamic correlations, portfolio weights and hedging effectiveness of adding commodities to international equity portfolios. The data covers the 2014/2015 commodities price crash. We compare commodities as a hedge for developed, emerging and frontier equities.
Maria de Boyrie, Ivelina Pavlova
exaly   +2 more sources

Hedging effectiveness comparisons: A note

International Review of Economics and Finance, 2008
Abstract This note examines the hedging effectiveness of three hedge strategies on twenty-four commodity and financial markets. Lien (Lien, D., 2005a, The use and abuse of the hedging effectiveness measure, International Review of Financial Analysis 14, 277–282, Lien, D., 2005b, A note on the superiority of the OLS hedge ratio, Journal of Futures ...
Donald Lien, Keshab Shrestha
exaly   +2 more sources

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.
openaire   +1 more source

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   +2 more sources

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   +3 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

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 Forecasting

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
openaire   +3 more sources

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
openaire   +1 more source