Research on Hedging of Interest Rate Futures in Interest Rate Risk Management

被引：0

作者：

Yu, Cheng ^{[1
]}

Ren, Lv Guang ^{[1
]}

机构：

[1] Harbin Coll, Harbin, Peoples R China

来源：

EBM 2010: INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT, VOLS 1-8 | 2010年

关键词：

interest rate risk; interest rate futures; hedging; nonlinear mean - variance model;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

It is especially important for commercial banks to carry out interest rate risk management scientifically in a changing market. Hedging by interest rate futures can be effective in helping the bank to avoid interest rate risk. To determine the optimal futures hedge ratio is the focus in trading a reasonable amount of futures contracts. To some extent, the establishment of a representative and available of non-linear mean variance model could help commercial banks to find the futures hedge ratio and then do perfect in interest rate risk management.

引用

页码：3778 / 3781

页数：4