Single Point of Entry and Slope: Difference between pages

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imported>Doug Williamson
(Categorise page and link to Resolution.)
 
imported>Doug Williamson
m (Categorise.)
 
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(SPE).
''Regression analysis and hedge effectiveness''.


<i>Bank resolution.</i>
Slope is a measure of the direction and responsiveness of the statistical relationship between two variables.


Single Point of Entry resolution of a failed or failing bank group involves working downwards from the top company (Topco) in the bank group so as to resolve the group as a whole, wherever in the group its current problems began.
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 ==
* [[Multiple Point of Entry]]
* [[Basis risk]]
* [[Resolution]]
* [[Efficiency]]
* [[Hedge]]
* [[Hedge accounting]]
* [[Hedge effectiveness]]
* [[R-Squared]]
* [[Regression analysis]]


[[Category:Regulation_and_Law]]
[[Category:Financial_risk_management]]

Revision as of 12:00, 15 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.


See also