Kellner, Ralf; Gatzert, Nadine - In: Journal of Banking & Finance 37 (2013) 11, pp. 4353-4367
This paper studies the empirical quantification of basis risk in the context of index-linked hedging strategies. Basis risk refers to the risk of non-payment of the index-linked instrument, given that the hedger’s loss exceeds some critical level. The quantification of such risk measures from...