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Effective Hedging of Mortgage Interest Rate Risk

dc.contributor.authorKolb, Robert W.
dc.contributor.authorCorgel, John B.
dc.contributor.authorChiang, Raymond
dc.date.accessioned2020-09-12T21:03:45Z
dc.date.available2020-09-12T21:03:45Z
dc.date.issued1982-01-01
dc.description.abstractUnfortunately, 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.legacydownloadsCorgel65_Effective_hedging.pdf: 1218 downloads, before Aug. 1, 2020.
dc.identifier.other11471634
dc.identifier.urihttps://hdl.handle.net/1813/71625
dc.language.isoen_US
dc.rightsRequired Publisher Statement: Copyright held by the authors. Reprinted with permission. All rights reserved.
dc.subjectmortgages
dc.subjectfutures
dc.subjectmarket
dc.subjecttreasury bills
dc.subjectGNMA
dc.subjecthedging
dc.titleEffective Hedging of Mortgage Interest Rate Risk
dc.typearticle
local.authorAffiliationKolb, Robert W.: Emory University
local.authorAffiliationCorgel, John B.: jc81@cornell.edu Cornell University School of Hotel Administration
local.authorAffiliationChiang, Raymond: University of Florida

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