Effective Hedging of Mortgage Interest Rate Risk
dc.contributor.author | Kolb, Robert W. | |
dc.contributor.author | Corgel, John B. | |
dc.contributor.author | Chiang, Raymond | |
dc.date.accessioned | 2020-09-12T21:03:45Z | |
dc.date.available | 2020-09-12T21:03:45Z | |
dc.date.issued | 1982-01-01 | |
dc.description.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. | |
dc.description.legacydownloads | Corgel65_Effective_hedging.pdf: 1218 downloads, before Aug. 1, 2020. | |
dc.identifier.other | 11471634 | |
dc.identifier.uri | https://hdl.handle.net/1813/71625 | |
dc.language.iso | en_US | |
dc.rights | Required Publisher Statement: Copyright held by the authors. Reprinted with permission. All rights reserved. | |
dc.subject | mortgages | |
dc.subject | futures | |
dc.subject | market | |
dc.subject | treasury bills | |
dc.subject | GNMA | |
dc.subject | hedging | |
dc.title | Effective Hedging of Mortgage Interest Rate Risk | |
dc.type | article | |
local.authorAffiliation | Kolb, Robert W.: Emory University | |
local.authorAffiliation | Corgel, John B.: jc81@cornell.edu Cornell University School of Hotel Administration | |
local.authorAffiliation | Chiang, Raymond: University of Florida |
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