{"title":"§489型隐含期权的宏观套期保值","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":"{\"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}","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}
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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