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Hedging Q4: What Could Go Wrong?

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There’s a lot of talk about a post-summer resurgence of COVID-19. And in past webinars, we’ve talked about elevated worldwide risks for cyber and SRCC as a result of the pandemic. So, what would happen if they all clashed? It’s a chilling thought: an escalated COVID-19 caseload in November along with riots and significant cyber attacks. To make matters worse, it would disrupt holiday shopping season, which would have severe implications for consumer spending. How can you hedge a situation like that?

You could take several different approaches to a Q4 hedge of that sort, with both parametric and industry loss triggers. The key would be to focus on the need for a capital injection rather than to focus on the underlying book you’re trying to protect. So, basis risk wouldn’t be as much of an issue. Watch now to learn more about this.

Presentation Date:

Friday, May 15, 2020

Speakers:

Tom Johansmeyer, ARM
Head of PCS

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