This video introduces viewers to the foundational principles and advanced techniques of risk-based hedging using derivative instruments. Presented by seasoned actuary Andres (Andy) Montes, the video explores key hedging concepts, including Delta, Gamma, Vega, and Rho hedging, as well as strategies such as Liability-Driven Investment (LDI), dynamic hedging, and macro hedging. It highlights the relevance of hedging for actuaries working with insurance and pension liability portfolios and emphasizes the importance of mathematical models and technical skills. The session also addresses practical challenges like transaction costs, model risk, and liquidity constraints, aiming to equip actuaries with tools to better manage financial risk.
Contributors: Andres Montes, ASA, MAAA; Fiona Fan, FSA, MAAA; Emilia Bruera, FSA; Jon Forster, ASA, MAAA