Cornell University
Library
Cornell UniversityLibrary

eCommons

Help
Log In(current)
  1. Home
  2. Cornell SC Johnson College of Business
  3. Cornell Peter and Stephanie Nolan School of Hotel Administration
  4. School of Hotel Administration Collection
  5. SHA Articles and Chapters
  6. Effective Hedging of Mortgage Interest Rate Risk

Effective Hedging of Mortgage Interest Rate Risk

File(s)
Corgel65_Effective_hedging.pdf (370.68 KB)
Permanent Link(s)
https://hdl.handle.net/1813/71625
Collections
SHA Articles and Chapters
Author
Kolb, Robert W.
Corgel, John B.
Chiang, Raymond
Abstract

Unfortunately, the hedging effectiveness of the GNMA futures market has been diminished by a lack of understanding of the selection of proper hedge ratios. This paper presents a derivation of the optimal hedge ratio for hedging interest rate risk with a GNMA futures contract. The hedge ratio is then applied to different hedging situations and the results of the traditional and newly derived hedging strategies are examined.

Date Issued
1982-01-01
Keywords
mortgages
•
futures
•
market
•
treasury bills
•
GNMA
•
hedging
Rights
Required Publisher Statement: Copyright held by the authors. Reprinted with permission. All rights reserved.
Type
article

Site Statistics | Help

About eCommons | Policies | Terms of use | Contact Us

copyright © 2002-2026 Cornell University Library | Privacy | Web Accessibility Assistance