Essays about: "Hedging effectiveness"

Showing result 1 - 5 of 15 essays containing the words Hedging effectiveness.

  1. 1. An Empirical Study of Monetary Policy Transmission Through Floating Rate Corporate Debt

    University essay from Göteborgs universitet/Graduate School

    Author : BEHZAD JAWAN BAKHSH; DENNIS MUTISO MULI; [2023-06-29]
    Keywords : Monetary policy surprise; Monetary policy transmission; Cash flow channel; Fed; Federal Open Market Committee; Forward guidance; SEC filings; Hedging; Bank Debt; Floating rate debt;

    Abstract : Considering the contemporary shift in the interest rate regime and the high levels of corporate debt in the US market, we show that monetary policy surprises have an impact on stock returns. This impact is dominated by a surprise in Fed forward guidance. READ MORE

  3. 2. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

    University essay from KTH/Matematik (Avd.)

    Author : Albin Irell Fridlund; Johanna Heberlein; [2023]
    Keywords : Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

    Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE

  4. 3. Improving term structure measurements by incorporating steps in a multiple yield curve framework

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Villwock; Clara Rydholm; [2022]
    Keywords : Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

    Abstract : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). READ MORE

  5. 4. Profitability of animal welfare : a German pig fattening business participating in the German animal welfare initiative “Initiative Tierwohl”

    University essay from SLU/Dept. of Biosystems and Technology (from 130101)

    Author : Jana Zibolka; [2021]
    Keywords : farm animal welfare; fattening pig production; Initiative Tierwohl; profitability; cost accounting; risk analysis; farm case;

    Abstract : Increasing numbers of people are concerned about the conditions of farm animal husbandry systems and of the whole meat industry as well as of the welfare of farm animals in Germany. The willingness to pay for animal welfare-friendly products is increasing, while until now there is only one market-based farm animal welfare (FAW) label in Germany, the “Initiative Tierwohl” (ITW). READ MORE

  6. 5. Implementing and testing possible hedging strategies to minimise value fluctuations in a defaulted portfolio

    University essay from Umeå universitet/Institutionen för fysik

    Author : Gabriel Nilsson; [2019]
    Keywords : ;

    Abstract : A Central Counterparty (CCP) handles clearing between its members and can mutualise and reduce the counterparty and credit risk in a network. In the case of a clearing member defaulting on its obligations, the defaulted portfolio will be taken over by the CCP, which will attempt to close out the positions as quickly as possible. READ MORE