Publicação
Hedging strategy for the bond liquidation group
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Ribeiro, Gonçalo Sommer | |
| dc.contributor.advisor | Prepin, Vincent | |
| dc.contributor.author | Vintovkina, Elizaveta | |
| dc.date.accessioned | 2019-05-17T11:08:41Z | |
| dc.date.available | 2019-05-17T11:08:41Z | |
| dc.date.issued | 2019-01-17 | |
| dc.description.abstract | This Paper studies possible hedging strategies for the Bond Liquidation Group within CCP. As one of the most important Default Management steps, hedging of the defaulted Clearing Member’s portfolio will take place in order to reduce market risk sensitivity. The paper is aimed to answer the question of what strategy should DMP team choose – what instrument to use, what number of contracts, within what time. The analysis is developed based on the studied real Clearing Member’s portfolio in order to reach realistic results. Finally, paper comes up with more ideas of hedging for more general cases based on the conclusions from studied portfolio. | pt_PT |
| dc.identifier.tid | 202225593 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/69920 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Hedging strategy | pt_PT |
| dc.subject | Central counterparty | pt_PT |
| dc.subject | Bond liquidation group | pt_PT |
| dc.subject | Interest rate risk | pt_PT |
| dc.subject | Risk management | pt_PT |
| dc.title | Hedging strategy for the bond liquidation group | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |