ommercial banks keep a significant proportion of their assets in the form of C fixed-income marketable securities (mostly government and municipal securities) that allows them a degree of flexibility to adjust assets quickly in response to changing economic conditions and to provide an important sou
Interest rate futures and bank hedging
โ Scribed by Udo Broll; Timothy W. Guinnane
- Book ID
- 106003280
- Publisher
- Springer
- Year
- 1999
- Tongue
- German
- Weight
- 57 KB
- Volume
- 21
- Category
- Article
- ISSN
- 0171-6468
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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
any commercial banks use financial futures to hedge their dealer and M trading operations. These institutions do not, however, use financial futures extensively for asset-liability management. Unfavorable accounting rules is one of the reasons often mentioned for the limited use of futures in balanc
ost empirical work and empirically oriented illustrations dealing with M the hedging effectiveness of futures contracts utilize either one of two approaches, namely: Risk minimization or payoff maximization. In the first approach, hedging is perceived as a combination of a futures position with an e