Metallgesellschaft case on hedging disasters

by: bionicturtle [45 videos »]
46
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 oil prices and (ii) backwardation
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Loss distribution for credit enhancement in securitization
3 yrs ago   06:18
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English   hedge,risk,case,study,backwardation

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