prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural … commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related …

The paper examines the performance of various hedging strategies using Options in the Indian options market. The entire … spectrum of option hedging strategies are divided into two categories: 1) Strategies with limited losses and unlimited gains; 2 … study also shows that the profitability can be maximised and the risk can be hedged by employing other metrics like VIX …

further exacerbated by income volatility caused by international commodity price fluctuations, while directional hedging, as a … favourite policy response, has been both costly and ineffective. We propose efficient and effective volatility hedging … contribution is a dynamic overlay futures hedging strategy with substantial reduction in hedging cost. Second, we account for …

If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right … identification of "Right Way Risk" (RWR). This approach only works if the stock and commodity price are co-integrated. To set the … stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet … crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas … models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …

This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends … market liquidity provides the best hedging performance for the out-of-sample period. Although the OLS model outperforms the …

products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … credit indices, to answer the following questions: Is there enough diversification of risk in a global credit portfolio to …

, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …

currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic … volatility jump diffusion model …