Hedging
A three-factor hazard rate model for single-name credit default swap pricing
The authors propose a reduced-form model in which the evolution of the risk-neutral hazard rate is driven by three risk factors.
Why a US fund manager added $4.8bn of Libor swaptions in Q1
Columbia Threadneedle’s eyebrow-raising trades were part of an effort to clean up legacy hedges
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
Energy firms call for rise in commodity clearing level
Industry says proposed €1 billion increase would not be enough following spike in wholesale prices
JP Morgan quants are building deep hedging 2.0
New model uses Bellman technique to learn general derivatives hedging strategies
Semi-analytic conditional expectations
A data-driven approach to computing expectations for the pricing and hedging of exotics
Cross-currency’s €STR switch may hasten Euribor demise
Rising cost of issuer cross-currency hedges could spur greater adoption of euro risk-free rate
Interest rate swaps help BMO keep M&A deal on track
Hedges to safeguard the Bank of the West acquisition have already yielded $2.7bn in mark-to-market gains
Corporates boost FX hedges as US dollar surges
Banks see more business, but also rising exposures, from corporates’ FX decision-making
New exchange to offer hedge for when private equity goes down
Rising interest rates increase financing costs, dispelling notion that private market assets only go up
CDS notionals made a comeback in 2021
A 5% rise to highest end-year figure since 2017 driven by swaps on junk debt
Trend following’s bumper returns mask fading convexity
Research suggests strategy is no longer a reliable hedge against stock market crashes
Index vol has been a poor hedge for equity rout, traders say
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
Curbs on hedging threaten to short-circuit Bulb sale
Insolvent energy supplier is barred from holding long-dated forwards – which could deter potential buyers
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Pricing data is key to unlocking FX swaps e-trading
Digitec’s Stephan von Massenbach on why automation is needed for e-trading to reach its potential
Locals give cautious welcome to exotics’ passage to India
Corporates still wary about structured derivatives five months after lifting of trading ban
US trading blunder costs Barclays £2.8bn in credit RWAs
The latest hit follows a £540 million provision to cover the over-issuance of structured notes
Platforms bring structured products to the masses
Simon, Luma and Halo fuel 80% rise in volume of structured investments in US
Energy market split over emergency government support
German move to backstop margins with liquidity facility welcomed by energy producers – but others say it’s unnecessary
JP Morgan takes $524m XVA loss on nickel, Russia trades
Margin calls, markdowns and rising funding costs result in biggest XVA loss since early 2020
Deep hedging pioneer Hans Buehler quits JP Morgan
Former global head of equities analytics will be joining XTX Markets
USD pay-fixed swaps grew in Q4 ahead of rate hike
Counterparty Radar: Pimco and Capital Group bucked the trend, leaning toward receive-fixed exposures
Ucits’ clash with IM rules could cause collateral damage
Strict collateral reuse guidelines may restrict popular investment vehicles’ hedging capabilities