Hedging
E&P firms restructure hedges amid oil price plunge
Upstream companies look to cash in on in-the-money positions
Taiwan to relax derivatives trading rules for life insurers
Regulator sees more advantages than risks in relaxing the rules
Pension funds fear hedging clampdown in Austria
Local Ucits rules use narrow definition of a hedge
JCRA: A collapse in the cost of credit
Credit charges have dropped to pre-crisis levels, says consulting firm's CEO
Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study
In this paper we examine the effectiveness of intraday hedging models for credit default swap index trading by means of more liquidly traded exchange-based futures contracts.
CDS de-correlation a threat to CVA hedging, traders warn
Fears relationship between credit indexes and constituents becoming more tenuous
Regulatory costs break risk neutrality
Regulations impose idiosyncratic capital and funding costs for holding derivatives. Idiosyncratic costs mean that no single measure makes derivatives martingales for all market participants. Chris Kenyon and Andrew Green demonstrate that regulatory…
Volcker questions remain as metric reporting begins
Industry calls for more clarity on hedging exemption
Buy-side firms ditching swaps for loans
Some buy-side firms' preference for swaps is on the wane
Interest rate hedge mis-selling bill tops £1 billion
Redress payments still rising for UK banks over unsuitable rate products
ATP ditching swaps for bricks-and-mortar hedges
Denmark’s biggest pension fund retreating from higher costs, lower liquidity
Fuel hedgers bemoan bank retrenchment from commodities
Delta Air Lines sees fewer counterparties for bilateral trades
Tail-risk hedging – Improving the return on capital
Sponsored feature: Pimco
Applied risk management series: Active VAR management
How to actively manage the value-at-risk of energy derivatives
Airbus Group: Looking for natural hedges
European air giant trying to persuade customers to pay in euros
Vague Volcker causes confusion
Vague Volcker bemuses
Non-bank commodity traders seen as benefiting from Volcker rule
End-users will hedge more with firms such as BP, Shell and Vitol as banks face ban on prop trading, say market participants
Hedge backtesting for model validation
Derivatives pricing and expected exposure models must be backtested as a basic regulatory requirement. But what does this mean exactly, and how can it be used to reserve against model risk? Lee Jackson introduces a general backtesting framework for…
Cutting edge: Valuation and optimal hedging of storage contracts in incomplete gas markets
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the…
Index-based longevity solutions continue to face challenges, experts say
Basis risk continues to worry pension funds, consultants say, despite the latest attempt by Deutsche Bank to create a flexible index-based longevity hedge
Sovereigns look to hedge fuel imports after Morocco deal
More energy importing countries are in talks about hedging fuel purchases after Morocco’s sovereign hedging deal, say bankers
Liquidity seen as top concern for energy risk managers
Falling over-the-counter energy volumes in Europe and the US push liquidity to top of risk management agenda