Dynamic Hedging CVA FX Hedge Credit Hedge Net PnL (21) 21 0 0 PnL Inception FX 5y Credit CVA T=0 1.3500 93 382 FX Moves Only FX 5y Credit CVA T = 0 1.3600 93 403 FX Moves +100 pips Expected Loss increases 21k; offset by gain in FX Hedge No net gain or loss FX hedge is unchanged at EUR 2.1mm CDS hedge is increased to 8mm delta-hedge? • Recall that the delta-hedging strategy consists of selling one option, and buying a certain number ∆ shares • An example of Delta hedging for 2 days (daily rebalancing and mark-to-market): Day 0: Share price = $40, call price is $2.7804, and ∆ = 0.5824 Sell call written on 100 shares for $278.04, and buy 58.24 shares.

Hedging Process in Detail Hedging Strategy – Goal of hedging is for Asset and Liability Risks to be offsetting – Many different possible strategies and hedging instruments • Dynamic Hedging Continuous rebalancing of assets to match liabilities Many different possible rebalancing rules • Static Hedging

## Corsair 280x 80mm fan

Skype for ipad ios 9

Lni inspection