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Hedging interest rate risk with financial futures: some basic principles

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  • Michael T. Belongia
  • G. J. Santoni

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  • Michael T. Belongia & G. J. Santoni, 1984. "Hedging interest rate risk with financial futures: some basic principles," Review, Federal Reserve Bank of St. Louis, vol. 66(Oct), pages 15-25.
    • Handle: RePEc:fip:fedlrv:y:1984:i:oct:p:15-25:n:v.66no.8
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    References listed on IDEAS

    as
    1. Michael R. Asay & Gisela A. Gonzalez & Benjamin Wolkowitz, 1981. "Financial futures, bank portfolio risk, and accounting," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(4), pages 607-618, December.
    2. George G. Kaufman, 1984. "Measuring and managing interest rate risk: A primer," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 8(Jan), pages 16-29.
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    Cited by:

    1. Chattha, Jamshaid Anwar & Alhabshi, Syed Musa, 2020. "Benchmark rate risk, duration gap and stress testing in dual banking systems," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    2. Michael T. Belongia, 1987. "Predicting interest rates: a comparison of professional and market- based forecasts," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 9-15.
    3. Duan, J. & Sealey, C. W. & Yan, Y., 1999. "Managing banks' duration gaps when interest rates are stochastic and equity has limited liability," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 253-265, September.

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    Keywords

    Risk management; Hedging (Finance);

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