ERN: Hedging (Topic)最新文献

A Malliavin Calculus Approach to Minimal Variance Hedging 最小方差套期保值的Malliavin微积分方法

ERN: Hedging (Topic) Pub Date : 2021-03-22 DOI: 10.2139/ssrn.3810190

M. Hess

引用次数: 0

Index Design: Hedging and Manipulation 指数设计:对冲和操纵

ERN: Hedging (Topic) Pub Date : 2021-01-27 DOI: 10.2139/ssrn.3819072

R. Jarrow, Siguang Li

引用次数: 2

The Market Structure of Dealer-to-Client Interest Rate Swaps 交易商-客户利率掉期的市场结构

ERN: Hedging (Topic) Pub Date : 2020-12-20 DOI: 10.2139/ssrn.3752367

Mohammadreza Bolandnazar

引用次数: 1

Optimal Dynamic Longevity Hedge with Basis Risk 基于基差风险的最优动态长寿对冲

ERN: Hedging (Topic) Pub Date : 2020-06-28 DOI: 10.2139/ssrn.3638370

K. S. Tan, Chengguo Weng, Jinggong Zhang

{"title":"Optimal Dynamic Longevity Hedge with Basis Risk","authors":"K. S. Tan, Chengguo Weng, Jinggong Zhang","doi":"10.2139/ssrn.3638370","DOIUrl":"https://doi.org/10.2139/ssrn.3638370","url":null,"abstract":"Abstract This paper proposes an optimal dynamic strategy for hedging longevity risk in a discrete-time setting. Our proposed hedging strategy relies on standardized mortality-linked securities and minimizes the variance of the hedging error as induced by the population basis risk. While the formulation of our proposed hedging strategy is quite general, we use a stylized pension plan, together with a specified “yearly rollingǥ trading strategy involving q-forwards and a specified stochastic mortality model, to illustrate our proposed strategy. Under these specifications, we show that the resulting hedging problem can be formulated as a stochastic optimal control framework and that a semi-analytic solution can be derived through an extended Bellman equation. Extensive Monte Carlo studies are conducted to highlight the effectiveness of our proposed hedging strategy. We also consider a scheme to approximate the semi-analytic solution in order to reduce the computational time significantly while still retaining its hedge effectiveness. We benchmark our strategy against the “delta” hedging strategy as well as its robustness to q-forwards maturity, reference age, interest rate, and stochastic mortality models. The proposed strategy has many appealing features, including its discrete-time setting which is consistent with market practice and hence conducive to practical implementation, and its generality in that the underlying hedging principle can be applied to other standardized mortality-linked securities and other stochastic models.","PeriodicalId":348709,"journal":{"name":"ERN: Hedging (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133926354","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

A Darwinian Theory of Model Risk 达尔文的模型风险理论

ERN: Hedging (Topic) Pub Date : 2020-02-19 DOI: 10.2139/ssrn.3544862

C. Albanese, S. Crépey, Stefano Iabichino

引用次数: 6

Impact of Hedging Strategy on Capital Charges for Variable Annuity Portfolios 套期保值策略对可变年金组合资本费用的影响

ERN: Hedging (Topic) Pub Date : 2020-02-17 DOI: 10.2139/ssrn.3539558

B. Vaucher, Vivek Shah

引用次数: 0

Gold and Bitcoin Hedging against 10 Exchange Returns 黄金和比特币对冲10个交易所回报

ERN: Hedging (Topic) Pub Date : 2019-12-28 DOI: 10.16980/jitc.15.6.201912.49

Y. Hwang

{"title":"Gold and Bitcoin Hedging against 10 Exchange Returns","authors":"Y. Hwang","doi":"10.16980/jitc.15.6.201912.49","DOIUrl":"https://doi.org/10.16980/jitc.15.6.201912.49","url":null,"abstract":"Purpose - The purpose of this study was to examine gold and bitcoin hedging against 10 exchange returns. Design/Methodology/Approach - This study collected financial data on exchange, gold, and bitcoin from FRB, St. Louis. A multiple Vector-BEKK regression analysis was used to analyze the data. Findings - First, strong negative effects from exchange markets onto gold were found to exist in the EU, Switzerland, Australia, Brazil, Canada, Japan, and Korea, while there were weak effects in the UK. Bitcoin shows the weak hedging against all markets. Second, the paper also revealed that in EU, the cross-shock term significantly decreased gold volatility, but not bitcoin volatility, while in Japan it decreased bitcoin volatility. The significantly negative asymmetries in gold, but insignificant asymmetries in bitcoin, were found in most exchange markets. Exchange market volatility increases gold volatility in Japan while it decreased in the Indian and Korean markets. Cross-terms among three variables with bi-directional causality are valuable. Research Implications or Originality - The study of the hedging of gold and bitcoin against various exchanges together shows that bi-variate models are useful to reconfirm the strong hedging of gold. Bitcoin, if well prepared to be immune to its deficiencies, might be very carefully used, but not at a magnitude equal to gold as a hedge against exchange. The results may enhance strategic risk management.","PeriodicalId":348709,"journal":{"name":"ERN: Hedging (Topic)","volume":"262 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124033664","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Bank Foreign Currency Hedging and the Impact on Covered Interest Parity, an Emerging Market Perspective 新兴市场视角下的银行外汇套期保值及其对利差平价的影响

ERN: Hedging (Topic) Pub Date : 2019-10-30 DOI: 10.2139/ssrn.3478126

Georgia R. Bush

{"title":"Bank Foreign Currency Hedging and the Impact on Covered Interest Parity, an Emerging Market Perspective","authors":"Georgia R. Bush","doi":"10.2139/ssrn.3478126","DOIUrl":"https://doi.org/10.2139/ssrn.3478126","url":null,"abstract":"This paper examines the role of banking sector foreign currency hedging demand in the foreign exchange market. First, the paper documents deviations from covered interest parity for a panel of emerging economies and tests whether resident bank foreign currency hedging needs affect these deviations. Next, I exploit data from Mexican regulatory filings on derivatives transactions and bank balance sheets to assess the impact of FX hedging demand from all resident banks, foreigners, and global banks operating in Mexico. These hedging demand measures are included in an econometric model of covered interest parity (under limits to arbitrage) with tenures from 1 month to 12 months, and then interacted with arbitrageur balance sheet constraint variables to test whether these amplify the impact of FX hedging demand. The main result of the paper is that bank hedging demand directly influences CIP deviations in the EM panel and the case of Mexico, while evidence of interaction effects is mixed. The direct effect of resident bank hedging demand is robust to including foreign exchange bid-ask spreads and arbitrage constraint variables in the regression model. In addition, global banks are the driver of this hedging effect. The results validate an important mechanism in the theoretical literature: that higher bank demand for foreign currency hedging, particularly from global banks, can directly increase the cost of hedging. This paper adds to the literature on CIP deviations by analyzing emerging market currencies, with the unique advantage of using regulatory data and observed FX derivatives transactions.","PeriodicalId":348709,"journal":{"name":"ERN: Hedging (Topic)","volume":"06 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130653127","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Concentration of Cleared Derivatives: Can Access to Direct Ccp Clearing for End-Users Address the Challenge? 已结算衍生品的集中:终端用户直接Ccp结算能否解决这一挑战?

ERN: Hedging (Topic) Pub Date : 2019-08-20 DOI: 10.21033/wp-2019-06

Nahiomy Alvarez, J. McPartland

引用次数: 0

The Joint S&P 500/VIX Smile Calibration Puzzle Solved 标准普尔500指数/波动率指数联合微笑校准难题解决

ERN: Hedging (Topic) Pub Date : 2019-05-31 DOI: 10.2139/ssrn.3397382

Julien Guyon

{"title":"The Joint S&P 500/VIX Smile Calibration Puzzle Solved","authors":"Julien Guyon","doi":"10.2139/ssrn.3397382","DOIUrl":"https://doi.org/10.2139/ssrn.3397382","url":null,"abstract":"Since VIX options started trading in 2006, many researchers have tried to build a model that jointly and exactly calibrates to the prices of S&P 500 (SPX) options, VIX futures and VIX options. So far the best attempts, which used parametric continuous-time jump-diffusion models on the SPX, only produced an approximate fit. In this article we solve this longstanding puzzle using a completely different approach: a nonparametric discrete-time model. Given a VIX future maturity T1, we build a joint probability measure on the SPX at T1, the VIX at T1, and the SPX at T2 = T1 + 30 days which is perfectly calibrated to the SPX smiles at T1 and T2, and the VIX future and VIX smile at T1. Our model satisfies the martingality constraint on the SPX as well as the requirement that the VIX at T1 is the implied volatility of the 30-day log-contract on the SPX. We prove by duality that the existence of such a model means that the SPX and VIX markets are jointly arbitrage-free. \u0000 \u0000The joint calibration puzzle is cast as a dispersion-constrained martingale transport problem which is solved using (an extension of) the Sinkhorn algorithm, in the spirit of De March and Henry-Labordere (2019). The algorithm identifies joint SPX/VIX arbitrages should they arise. Our numerical experiments show that the algorithm performs very well in both low and high volatility regimes. Finally we explain how to handle the fact that the VIX future and SPX option monthly maturities do not perfectly coincide, and how to extend the two-maturity model to include all available monthly maturities.","PeriodicalId":348709,"journal":{"name":"ERN: Hedging (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128956392","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 27