Impact of recent market turbulence on hedging programs for equity-linked guarantees

Abstract

Financial risk management techniques born out of the last period of intense market volatility in late 2001 have weathered their first big real-world test. During the market turbulence in the beginning of 2008, insurers with robust hedging strategies saw their equity-linked guarantee products hold up as anticipated. Our survey of 16 companies with such programs examines these results and documents the behavior of a typical yet hypothetical hedging program during this volatile time.


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AUTHOR PROFILE

Peter  H.
Sun

Office: Chicago, Ill.

Phone: +1 312.726.0677

Wade 
Matterson

Office: Sydney

Phone: +61 (0) 2.9959 2232

Rikiya 
Ino

Office: Tokyo

Phone: +81 3.5211 7031