Journal of Investment Strategies
ISSN:
2047-1238 (print)
2047-1246 (online)
Editor-in-chief: Ali Hirsa
Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study
Cheng-Ran Du and Tim Brunne
Abstract
ABSTRACT
We consider the equity and Bund futures as financial instruments to hedge standard 5Y iTraxx Europe Main and Crossover indexes. Our analysis is based on a four-month intraday time series for traded prices and quoted spreads, respectively. We find that a DAX futures based intraday hedging strategy is the most efficient one. While the cross-asset hedging strategy reduces the intraday market risks of iTraxx Europe positions, the overall hedging efficiency is limited.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
