Applications of derivatives for portfolio risk management

Vineer Bhansali, Frank J. Fabozzi (), Robert Harlow, Adam Kobor, Joseph Niehaus, Christopher Small and Andrew Weisman
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Vineer Bhansali: LongTail Alpha LLC
Frank J. Fabozzi: Johns Hopkins University
Robert Harlow: T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc
Adam Kobor: New York University Investments Office
Joseph Niehaus: Jefferies | Credit Union Financial Services (CUFS) Group
Christopher Small: Windham Capital Management
Andrew Weisman: Windham Capital Management

Journal of Asset Management, 2024, vol. 25, issue 6, No 3, 552-578

Abstract: Abstract In this article, five in-depth illustrations of practical applications of various derivatives for risk control for asset management are provided. The illustrations are presented using stock index futures, interest-rate derivatives (Treasury futures and interest rate swaps), options, and equity swaps. The cases presented bridge the gap between theoretical finance and practical application, making it invaluable for those involved in risk management for portfolio managers.

Keywords: Derivatives; Hedging; Equity swaps; Tail risk hedging; Interest-rate swaps; Duration (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1057/s41260-024-00365-0

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