Hedge effectiveness and Pearson's Coefficient of Skew: Difference between pages

Revision as of 13:51, 21 August 2013

Statistics.

Three times the mean less the median all divided by the standard deviation.

When the mean is greater than the median, the distribution is positively skewed.

When the mean is less than the median, the distribution is negatively skewed.

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-The degree to which changes in the fair value or cash flows of a hedged item that are attributable to the hedged risk are offset by changes in the fair value or cash flows of the related hedging instrument.
+''Statistics''.
+Three times the mean <u>less</u> the median all divided by the standard deviation.
-In a situation where a hedge is <u>ineffective</u> (or inefficient) the ineffectiveness may arise from:
+When the mean is greater than the median, the distribution is ''positively'' skewed.
-#Basis risk or basis differences; or
+When the mean is less than the median, the distribution is ''negatively'' skewed.
-#Differences between the quantum of (i) the hedged item and (ii) the hedging instrument.
-Also known as Hedge efficiency.
 == See also ==
-* [[Basis risk]]
+* [[Mean]]
-* [[Efficiency]]
+* [[Median]]
-* [[Hedge]]
+* [[Skewness]]
-* [[Hedge accounting]]
+* [[Standard deviation]]
-* [[IAS 39]]
-[[Category:Accounting,_tax_and_regulation]]
-[[Category:Risk_frameworks]]