Essays about: "Hedging performance and effectiveness"

Found 5 essays containing the words Hedging performance and effectiveness.

1. 1. 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

3. 2. 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

4. 3. European Investor Currency Hedging: Forwards or Options in International Portfolios

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Yan Xu; [2014]
   Keywords : international portfolio currency hedging; hedging instruments; currency forward contracts; currency put options; optimal portfolio; CVaR; Business and Economics;

   Abstract : The hedging effectiveness of currency forward contracts and currency put option for three different portfolios—Portfolio of Emerging Markets, Portfolio of Developed Countries, and the International Portfolio—are examined from the viewpoint of European investors. European Union (EU), United States (US), United Kingdom (UK), Switzerland (SF), Sweden (SE), Denmark (DK), Norway (NK), and Japan (JAP) are considered in the developed countries. READ MORE

5. 4. Forwards versus Options: Effectiveness in Hedging Currency Risk in International Portfolios

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Cecilia Alvarado-Vargas; Khwanchanok Kessakorn; [2013]
   Keywords : Currency Hedging; International Portfolios Diversification; Currency Forward Contracts; Currency Put Options.; Business and Economics;

   Abstract : This paper aims to examine effectiveness of currency hedging of forward contracts and options in international portfolio, consisting of assets denominated in Chinese Yuan and Indian Rupee. Instead of applying Markowitz’s portfolio optimization, mean-CVaR framework is used in order to deal with non-normality of return of financial assets as well as exchange rates. READ MORE

6. 5. Hedging Effectiveness of Index Options in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Janis Lazdins; Janis Kiploks; [2011]
   Keywords : Black-Scholes-Merton model; Regression-based hedge; Hedging errors; Hedging performance and effectiveness;

   Abstract : We test hedging performance of five different hedging techniques of the OMX Stockholm 30 (OMXS30) call options. Four of the hedging techniques applied are based on the Black-Scholes-Merton (BSM) model and the fifth is a regression-based model that adjusts the original BSM Greeks. READ MORE