Interest rate futures and bank hedging Einsatz von Zinsfutures beim Risikomanagement der Banken

被引：0
|
作者：
Udo Broll
Timothy W. Guinnane
机构：
[1] Department of Economics,
[2] University of Munich,undefined
[3] Schackstraße 4,undefined
[4] D-80539 München,undefined
[5] Germany (e-mail: udo.broll@lrz.uni-muenchen.de) ,undefined
[6] Department of Economics,undefined
[7] Yale University,undefined
[8] Economic Growth Center,undefined
[9] 27 Hillhouse Avenue,undefined
[10] P.O. Box 208269,undefined
[11] New Haven,undefined
[12] CT,undefined
[13] USA ,undefined
来源：
OR-Spektrum | 1999年 / 21卷 / 1期
关键词：
Key words:Interest rate risk – Futures market – Cross-hedge; Schlüsselwörter: Zinsänderungsrisiko – Derivate – Hedging – Regression;
D O I：
10.1007/s002910050081
中图分类号：
学科分类号：
摘要：
This note examines a situation in which hedging may actually increase a bank's exposure to risk. Especially in the case of financial institutions, there exists only a limited number of delivery dates for each futures contract and the delivery dates may not coincide with it the planning horizon of the firm. Therefore a cross-hedge often becomes necessary in financial institutions. However, a cross-hedge may increase the level of noise, and with it the banking firm's income risk.
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页码：71 / 80
页数：9
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