A Value Investing-Based Approach to Catastrophe Bonds and Tail Risk Hedging

2015 ◽  
Author(s):  
Frederick J. Sheehan ◽  
Joseph Calandro
Keyword(s):  
Tail Risk ◽  
Risk Hedging ◽  
Value Investing ◽  
Catastrophe Bonds ◽  
A Value

Offensive Risk Management: Can Tail Risk Hedging Be Profitable?

2010 ◽  
Author(s):  
Vineer Bhansali ◽  
Josh Davis
Keyword(s):  
Risk Management ◽  
Tail Risk ◽  
Risk Hedging

Tail Risk Hedging Performance: Measuring What Counts

2021 ◽  
Author(s):  
Linda Chang ◽  
Jeremie Holdom ◽  
Vineer Bhansali
Keyword(s):  
Tail Risk ◽  
Risk Hedging ◽  
Hedging Performance

Tail risk hedging for mutual funds using equity market state prices

2016 ◽  
Vol 41 (4) ◽  
pp. 687-698 ◽  
Author(s):  
Michael J O’Neill ◽  
Zhangxin (Frank) Liu
Keyword(s):  
Mutual Funds ◽  
Equity Market ◽  
Tail Risk ◽  
Risk Hedging ◽  
Market State

The value of tail risk hedging in defined contribution plans: what does history tell us

2014 ◽  
Vol 14 (3) ◽  
pp. 240-265 ◽  
Author(s):  
ANUP K. BASU ◽  
MICHAEL E. DREW
Keyword(s):  
Global Financial Crisis ◽  
Rare Event ◽  
Equity Markets ◽  
Investment Horizon ◽  
Defined Contribution ◽  
Tail Risk ◽  
Put Options ◽  
Historical Simulation ◽  
Risk Hedging ◽  
The Great Depression

AbstractHedging against tail events in equity markets has been forcefully advocated in the aftermath of recent global financial crisis. Whether this is beneficial to long horizon investors like employees enrolled in defined contribution (DC) plans, however, has been subject to criticism. We conduct historical simulation since 1928 to examine the effectiveness of active and passive tail risk hedging using out of money put options for hypothetical equity portfolios of DC plan participants with 20 years to retirement. Our findings show that the cost of tail hedging exceeds the benefits for a majority of the plan participants during the sample period. However, for a significant number of simulations, hedging result in superior outcomes relative to an unhedged position. Active tail hedging is more effective when employees confront several panic-driven periods characterized by short and sharp market swings in the equity markets over the investment horizon. Passive hedging, on the other hand, proves beneficial when they encounter an extremely rare event like the Great Depression as equity markets go into deep and prolonged decline.

Examining the Performance of a Value Investing Heuristic: Evidence from the S&P/TSX 60 from 2001-2011

2012 ◽  
Author(s):  
Eben Otuteye ◽  
Mohammad Siddiquee
Keyword(s):  
Value Investing ◽  
A Value

Tail Risk Hedging: It Is an Asset Allocation Decision

2019 ◽  
pp. 71-79
Author(s):  
Elisabetta Basilico ◽  
Tommi Johnsen
Keyword(s):  
Asset Allocation ◽  
Allocation Decision ◽  
Tail Risk ◽  
Risk Hedging

Tail-Risk Hedging, Dividend Chasing, and Investment Constraints: The Use of Exchange-Traded Notes by Mutual Funds

2017 ◽  
Author(s):  
David A. Rakowski ◽  
Sara E. Shirley ◽  
Jeffrey R. Stark
Keyword(s):  
Mutual Funds ◽  
Tail Risk ◽  
Risk Hedging ◽  
Exchange Traded Notes ◽  
Investment Constraints
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