Hedging as a derivatives instrument is one of the practices in risk management. The hedging decision, among other things, comprises forwards, futures, options, and swaps. This study analyzes managerial ownership, financial distress, leverage, liquidity, profitability, company size on decisions. was conducted mining sector listed IDX 2016-2020. samples were 27 companies that selected based purpo...

In this paper we review the hedging of interest rate derivatives priced under a risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark-Ocone formula.

Based on survey evidence from Germany and Switzerland we analyse the application of hedge accounting according to IAS 39 and its influence on the hedging behaviour of nonfinancial corporations. We find that about two thirds of the companies apply hedge accounting. Larger companies and companies that frequently use derivatives for hedging purposes are more likely to apply hedge accounting. The l...

For many, derivatives are often associated with infamous financial events and scandals resulting from highly leveraged and speculative use of derivative financial instruments. The most common use of these instruments is, however, in the often quiet area of risk management rather than the charged atmosphere of high stakes betting. At the most basic level, a derivative is simply a financial instr...

this paper uses a multivariate garch model to simultaneously estimate the mean and conditional variance using daily returns among different tehran sector indexes from tir 1386 to tir 1391. since different financial assets are traded based on these sector indexes, it is important for financial market participants to understand the volatility transmission mechanism over time and across sectors in...

Delta hedging, which plays a crucial rôle in modern financial engineering, is a tracking control design for a “risk-free” management. We utilize the existence of trends for financial time series (Fliess M., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009. Online: http://hal.inria.fr/in...

Before the credit crisis that started in mid-2007, it was generally believed by top regulators that credit derivatives make banks sounder. In this paper, we investigate the validity of this view. We examine the use of credit derivatives by US bank holding companies with assets in excess of one billion dollars from 1999 to 2005. Using the Federal Reserve Bank of Chicago Bank Holding Company Data...