We introduce a novel methodology to hedge changes in the market values of credit exposures using equity put options. Our new hedge ratios are derived from the application of contingent-claims valuation and are fundamentally different from existing hedging methods aimed at neutralizing the loss...

Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday...

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to...