October 28, 2021
Talking Shop: Balance Sheet Hedging and the Efficient Frontier
Editor’s note: NeuGroup’s online communities provide members a forum to pose questions and give answers. Talking Shop shares valuable insights from these exchanges, anonymously. Send us your responses: [email protected]. Member question: “Does anyone use efficient frontier in the balance sheet hedging program, i.e., consider the correlations between the currency pairs to determine the hedge ratio? I would like to learn how that works in practice.” Peer answer 1: “We do an efficient frontier light, I would say. We have different hedge…