Cornell University
Library
Cornell UniversityLibrary

eCommons

Help
Log In(current)
  1. Home

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