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Risk Exposure and Hedging
Bodily, Samuel E.; Fiedler, Lee Case QA-0595 / Published September 10, 2002 / 11 pages.
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Product Overview

The concept of exposure, or uncertainty that matters, is developed as the target of hedging. Then, how to hedge that exposure--in particular, how to use regression analysis to obtain a hedging ratio--is described. The note concludes with a discussion of hedging multiple uncertainties and how to use correlations in developing a hedging strategy.


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  • Overview

    The concept of exposure, or uncertainty that matters, is developed as the target of hedging. Then, how to hedge that exposure--in particular, how to use regression analysis to obtain a hedging ratio--is described. The note concludes with a discussion of hedging multiple uncertainties and how to use correlations in developing a hedging strategy.

  • Learning Objectives