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.

引用

页码：71 / 80

页数：9