tail risk hedgingcorporate pension plansrisk managementderivativesPension plan sponsors tend to think of their asset risks and liability risks separately. Indeed, most risk management strategies employed by pension plans focus primarily on the main sources of liability risk, especially managing the ...
Figure 1.Historical drawdowns of tailriskhedging strategies. A collar hedging strategy has a similar IR as the 60-40 benchmark portfolio and a significantly lower worst drawdown of 20.8%; however, it results in significantly lower cumulative wealth. Buying collars eliminate much of the potential u...
The sharp market fall and speedy recovery during the eventful first half of 2020 has kept tail risk hedging topical: investors have both fresh memories of a painful loss and renewed fears of a repeat. We try to offer a balanced overview of the strengths
TailRiskHedgingandRegimeSwitching 系统标签: hedgingtailriskregimeswitchingcvar TailRiskHedgingandRegimeSwitchingMarkusHuggenberger∗,PeterAlbrecht,AlexandrPekelisUniversityofMannheim,GermanyThisversion:June21,2015Firstversion:August15,2011Abstract:Inthispaper,weanalyzefutures-basedhedgingstrategieswhichminimizetailrisk...
Constructing tail risk strategies 构建长尾风险对冲策略 Some specialist providers of tail risk investment strategies already exist, and many larger hedge funds already use a degree of tail risk hedging within their existing funds. However, investor demand is causing many more established fund managers to...
In this regard, novel EGB2OP model-based Greeks and corresponding tail risk hedging strategies can be further investigated. Last but not least, this study might offer more hints and implications for complicated option pricing research. In this paper, the proposed model targets the vanilla option,...
Although tail events that negatively impact portfolios are rare, they may have largenegative returns. Therefore, investors should hedge against these events. Hedging against tail risk aims to enhance returns over the long term, but investors must assume short-term costs. Investors may look to divers...
This paper reports on tail risk premiums in two tail risk hedging strategies: the S&P 500 puts and the VIX calls. As a new measure of tail risk, we suggest using a model-free, risk-neutral measure of the volatility of volatility implied by a cross section of the VIX options, which we...
Strategies to mitigate tail risk, such as different hedging positions, can provide investors with significant value in the long run, while history shows that preemptive analysis of tail risks in the wider markets can potentially curtail the effects of systemic shock on a spectrum of investments. ...
In the current deleveraging episode, the severity and simultaneous realization of low-probability events across a number of strategies has brought portfolio tail-risk hedging to the center of investors' attention. In this article, the author discusses the basic principles and implementation considerations...