{"title":"A Macro Hedge for Implicit Options of Type §489","authors":"A. Miemiec","doi":"10.2139/ssrn.3926361","DOIUrl":null,"url":null,"abstract":"This paper considers loans containing implicit options according to §489 of the German civil code. Assuming a risk neutral framework a generalisation of the simple case of a 1:1 micro-hedge to the more advanced case of a macro-hedge will be presented. For this purpose, the proposed hedging strategy will be described and examined. The question which of the several components of a macro hedge should be finally taken into account is answered in a step by step approach. Firstly, by means of a methodological discussion and secondly, by means of a cost/benefit analysis. A useful by-product of the analysis conducted here is a generic method for quantifying the materiality of risks of §489 options.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Derivatives eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3926361","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
This paper considers loans containing implicit options according to §489 of the German civil code. Assuming a risk neutral framework a generalisation of the simple case of a 1:1 micro-hedge to the more advanced case of a macro-hedge will be presented. For this purpose, the proposed hedging strategy will be described and examined. The question which of the several components of a macro hedge should be finally taken into account is answered in a step by step approach. Firstly, by means of a methodological discussion and secondly, by means of a cost/benefit analysis. A useful by-product of the analysis conducted here is a generic method for quantifying the materiality of risks of §489 options.
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