๐”– Bobbio Scriptorium
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Sources of Bank Interest Rate Risk

โœ 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

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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

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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