On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees
Type de ressource
Auteurs/contributeurs
- Augustyniak, Maciej (Auteur)
- Badescu, Alexandru (Auteur)
- Boudreault, Mathieu (Auteur)
Titre
On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees
Résumé
Although the finance literature has devoted a lot of research into the development of advanced models for improving the pricing and hedging performance, there has been much less emphasis on approaches to measure dynamic hedging effectiveness. This article discusses a statistical framework based on regression analysis to measure the effectiveness of dynamic hedges for long-term investment guarantees. The importance of taking model risk into account is emphasized. The difficulties in reducing hedging risk to an appropriately low level lead us to propose a new perspective on hedging, and recognize it as a tool to modify the risk–reward relationship of the unhedged position.
Publication
Journal of Risk and Financial Management
Volume
16
Numéro
2
Pages
112
Date
2023-02-10
Abrév. de revue
JRFM
Langue
en
ISSN
1911-8074
Consulté le
23/10/2024 18:22
Catalogue de bibl.
DOI.org (Crossref)
Autorisations
Référence
Augustyniak, M., Badescu, A., & Boudreault, M. (2023). On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees. Journal of Risk and Financial Management, 16(2), 112. https://doi.org/10.3390/jrfm16020112
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