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- W2506127655 abstract "This chapter describes the delta equivalent strategy that hedges perfectly the risk exposures. The equity derivatives or fixed income teams of large banks will be happy to structure micro hedging strategies for A/L managers in front of their optional risks. The delta equivalent technique gives the amount of swaplets to contract on the different horizons. Due to the demand deposit amount growth indexation, the swap amount converges to zero. It is possible to extent this theoretical framework to real Banking Books. A simulation tool of the future incomes on long-term horizons with thousands of trajectories is sufficient. The delta equivalent starts at the demand deposit level. This delta equivalent could serve as a basis for FTP refinancing." @default.
- W2506127655 created "2016-08-23" @default.
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- W2506127655 date "2012-01-02" @default.
- W2506127655 modified "2023-10-14" @default.
- W2506127655 title "Risk Perfect Hedging Using the Delta Equivalent Technique" @default.
- W2506127655 doi "https://doi.org/10.1002/9781119209133.ch27" @default.
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