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
โฆ LIBER โฆ
Sources of Bank Interest Rate Risk
โ Scribed by Donald R. Fraser; Jeff Madura; Robert A. Weigand
- Book ID
- 108507561
- Publisher
- John Wiley and Sons
- Year
- 2002
- Tongue
- English
- Weight
- 264 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0732-8516
No coin nor oath required. For personal study only.
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I tion of the GNMA futures contracts in 1975. By the end of 1981, the open interest in all U S . interest rate futures markets approximated $100 billion in deliverable securities. This phenomenal growth attests to the need for such markets for the hedging of interest rate risk. The United States is