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Keywords: Equity derivatives
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Journal Articles
Partial hedging in credit markets with structured derivatives: a quantitative approach using put options
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2024) 32 (4): 286–322.
Published: 21 October 2024
... in the Solvency Capital Requirement (SCR) in markets with and without jumps. Our findings provide (insurance) companies with a pragmatic approach to mitigating losses while maintaining their current risk management framework. Credit risk management Equity derivatives Partial hedging strategies SCR reduction...
