Single Point of Entry and Slope: Difference between pages
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imported>Doug Williamson (Align with Glossary.) |
imported>Doug Williamson (Create page. Sources: The Treasurer Feb 2018, p25 & KPMG-FINCAD webpage https://www.cmegroup.com/education/files/basics-of-hedge-effectiveness.pdf) |
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''Regression analysis and hedge effectiveness''. | |||
Slope is a measure of the direction and responsiveness of the statistical relationship between two variables. | |||
In hedge effectiveness testing, it measures how responsively, and in what direction, the value of the hedging instrument tracks the value of the underlying exposure being hedged. | |||
A Slope parameter between negative 0.80 and negative 1.25 is generally considered effective. | |||
Other metrics for hedge effectiveness include R-Squared. | |||
== See also == | == See also == | ||
* [[ | * [[Basis risk]] | ||
* [[Efficiency]] | |||
* [[Hedge]] | |||
* [[Hedge accounting]] | |||
* [[Hedge effectiveness]] | |||
* [[R-squared]] | |||
* [[Regression analysis]] | |||
Revision as of 18:36, 3 February 2018
Regression analysis and hedge effectiveness.
Slope is a measure of the direction and responsiveness of the statistical relationship between two variables.
In hedge effectiveness testing, it measures how responsively, and in what direction, the value of the hedging instrument tracks the value of the underlying exposure being hedged.
A Slope parameter between negative 0.80 and negative 1.25 is generally considered effective.
Other metrics for hedge effectiveness include R-Squared.
