Hedging
‘Wrong type of liquidity’ spells trouble for energy hedges
Cyclical lull conceals structural shift as liquidity becomes shorter-dated and more flighty
On optimizing risk exposures with trend-following strategies in currency overlay portfolios
This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
Enterprise risk management powers up at utilities
Revived focus on ERM, but expectations now more realistic on what it can achieve
Plastics hedging rising amid US chemical industry boom
Several obstacles limiting potential growth, say plastics market participants
Cargill sees growth in plastics hedging
Swaps unit of commodity trading giant describes increasing need for derivatives on resins prices
Simulating meaningful uncertainty for complex energy portfolios
The meaningful uncertainty simulation framework can enable energy firms to make better decisions
Banks ‘hurting, but not dead’ after Brexit shock
Last-gasp hedges may have eased the pain of Brexit for some banks
Deal of the year: Morgan Stanley
Deal enables Gulf Power to be first utility in Florida to buy wind power
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
Stochastic receding horizon control for short-term risk management in foreign exchange
The authors of this paper formalize a methodology to manage short-term FX risk.
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
NSFR to hike hedging costs for end-users, industry warns
Costs could increase by 10–15%, House Agriculture Committee hears
How to get maximum value from power plant hedging
Dynamic hedging is becoming more common among plant operators
Liability-side pricing of swaps
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
New hedging tools needed in the Philippines, says SEC
New derivative structures under consideration but caution is key
FVA sceptics lose ground in valuation debate
Market needs to move on from theoretical argument and focus on numbers
Sovereign risk manager of the year: SHCP
Mexico hedged against the oil price collapse while diversifying its debt investor base
Cutting Edge introduction: No more shortfalls?
Academics develop expected shortfall backtest to compare standardised and internal models
Ending Emir hedge exemption conflicts with Mifid II, firms say
EU energy companies warn of inconsistency between two regulatory regimes
UBS case shines light on proprietary index disclosures
US dealers’ custom index operations under heightened scrutiny following SEC enforcement action
CVA with Greeks and AAD
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
SEC probing more proprietary index cost disclosures
US official says regulator is examining "a case or two"
Numerical methods for the quadratic hedging problem in Markov models with jumps
In this paper algorithms are developed using the Hamilton–Jacobi–Bellman approach for parabolic partial integrodifferential equations related to the quadratic hedging strategy in incomplete markets.
Repeat of Asian crisis ‘unlikely’, say Singapore bank chiefs
Policy-makers responding more proactively to risks than in 1997