Hedging interest rate risk in banking
✍
Dr. David R. Goldfarb
📂
Article
📅
1987
🏛
John Wiley and Sons
🌐
English
⚖ 806 KB
T mediary that hedges its interest rate risk in the futures market. This interest rate risk has two components: asymmetric risk in the form of prepayment risk on fixed rate loans or through a cap feature on variable rate loans; and, symmetric risk in the form of interest rate level-risk and interest