Join: Dec 2, 2008

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Videos (183)

Metallgesellschaft case on hedging disasters

  • Length: 6:19
  • Rating Average: 5.00 from 2 people
  • View Count: 538' favoriteCount='2
  • Author: bionicturtledotcom

Tags: backwardation  case  contango  hedge  risk  study 

In MG, the underlyings were short positions in long-term forward contracts to deliver oil. The hedge was a stack-and-roll hedge: long positions in short-term futures contracts that were rolled over consecutively. The strategy depended on the continuation of (i) stable or gently increasing spot...

Surplus at risk (Pension VaR)

  • Length: 5:30
  • Rating Average: 5.00 from 1 people
  • View Count: 245' favoriteCount='4
  • Author: bionicturtledotcom

Tags: at  pension  risk  surplus  value 

Surplus as risk is value at risk (VaR) for a pension fund.

Best hedge

  • Length: 5:56
  • Rating Average: 5.00 from 2 people
  • View Count: 394' favoriteCount='2
  • Author: bionicturtledotcom

Tags: hedge  portfolio  variance 

The best hedge is based on portfolio volatility in the mean-variance framework. Specifically, 1. Given a current portfolio with value (W), and 2. Given an asset (A) with correlation (rho) to the portfolio, 3. What is the trade that produces the minimum volatility for the new portfolio (W+a)?

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