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Hedging strategy for the bond liquidation group
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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.
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Hedging strategy Central counterparty Bond liquidation group Interest rate risk Risk management