...Amira Said; Chokri Ouerfelli Purpose This paper aims to examine the dynamic conditional correlation (DCC) and hedging ratios between Dow Jones markets and oil, gold and bitcoin. Using daily data, including the COVID-19 pandemic and the Russia–Ukraine war. We employ the DCC-generalized...

...Jocelyn Grira; Sana Guizani; Ines Kahloul Purpose The purpose of this paper is to analyze the hedging capacity of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic. Design/methodology/approach In order to investigate the hedging features of Bitcoin in relation to the S...

... and after hedging per year and currency. This unprecedented data granularity allows us to use actual reported volumes instead of proxy variables in defining speculation and to examine whether the convexity theories are empirically supported in FX risk management. Findings We find that frequent...

... and managed, and whether firms increase or decrease their exposure with derivative transactions. Design/methodology/approach The paper examines an unexplored regulatory environment that contains publicly reported IR exposure data on the firms’ exposures before and after hedging. The data were complemented...

...Calvin W. H. Cheong Purpose This study aims to examine the properties of four major cryptocurrencies and how they can be used as a simpler alternative mode of hedging foreign exchange (FX) risks as compared to existing mainstream financial risk management techniques. Design/methodology/approach...

...Timo Korkeamäki; Eva Liljeblom; Markus Pfister Purpose The purpose of this paper is to study the value effects of hedging in the airline industry during a period of high volatility and high fuel costs. The authors also study the determinants of hedging in the airline industry, most importantly...

...Jacques A. Schnabel Purpose – This paper aims to examine the nexus between hedging, which reduces the volatility of corporate assets, and the anomaly of debt overhang, whereby corporate management is motivated to reject positive net present value (NPV) projects. The question of whether...

...Nadine Gatzert; Hannah Wesker Purpose Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can substantially impact a life insurers' risk and solvency situation. By using the “natural hedge” between life insurance and annuities, insurance companies have...

... which shows a very different behaviour in terms of optimal Markov chain order throughout the year (Table I). This station is located in a wheat producing area and is used to investigate the influence of the choice of the Markov order on the price of a theoretical weather option to hedge against lack...

... problem, tax convexity, profitability, managerial ownership and foreign exchange exposure on firms' decision to use FX derivative instruments for hedging. Findings Results explain that firms having higher foreign sales are more likely to use FX derivative instruments to reduce exchange rate exposure...

...Michael R. Powers Purpose The purpose of this paper is to explore the roles of diversification, hedging, and a third risk‐reduction process – “pacification” – in risk finance. Design/methodology/approach After briefly reviewing the concepts of diversification and hedging, a simple mathematical...

... to devise optimal hedging vehicles. Design/methodology/approach The paper presents a potential financial innovation between two countries at different stages of economic development and with different long‐term challenges. This 30‐year‐long swap is structured in such a way to capture the different...

...Mulong Wang; Min‐Ming Wen; Charles C. Yang Purpose The paper aims to examine theoretically valuation of weather derivatives and their hedging roles in corporate risk management. Design/methodology/approach The paper introduces an extended financial market model in which the weather risk...

...Anne Zissu; Carlos Ortiz; Charles Stone Purpose The aim of this paper is to develop the optimal delta hedge for a portfolio of mortgage servicing rights (MSR) under the constraint of a zero‐gamma in order to avoid costs related to the rebalancing of such portfolio. Design/methodology/approach...

..., training of qualified specialists for working with these instruments and attracting companies interested in hedging their profits. A combination of these factors will help growth and will accelerate the development of a weather derivatives market in Portugal. Originality/value The paper identifies some...

... implications The findings imply that managers should explain to investors that firms truly use derivatives for hedging purposes and how such a financial policy creates shareholders value. Originality/value It is believed that this is the first study that examines the valuation effect of derivatives use...

...Charles C. Yang; Patrick L. Brockett; Min‐Ming Wen Purpose The purpose of this paper is to examine empirically the basis risk and hedging efficiency of temperature‐indexed standardized weather derivatives in hedging weather risks in the US energy industry. Design/methodology/approach Within...

... current practices prevalent in the country. Furthermore, recommendations are made to enhance the methods of payment and foreign‐exchange risk management practices among firms. The findings may also be useful for financial institutions interested in providing hedging products and services to the firms...

...Carlos E. Ortiz; Charles A. Stone; Anne Zissu Purpose The purpose of this paper is to present an innovative model that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to be δ‐ and γ‐hedged against small changes...

...‐servicing rights (MSR) which need to be delta (dynamic) hedged. Because MSR have a positive duration when prepayment effect is stronger than discount effect, it is possible to delta hedge a portfolio of MSR with other fixed income securities such that the value of the portfolio is not affected by increases...