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Bankrisiko, Zinsmargen und flexibles Futures-Hedging


  • Udo Broll
  • Johannes Jaenicke


In recent years, managers have become increasingly aware of how their organizations can be affected by risks beyond their control. Financial futures are commonly used as hedging instruments by banking firms to insure against interest rate risk. The paper examines the volatility of bank interest rates. We analyze how banking firms may use hedging instruments in order to insure against the resulting interest rate risk and how optimal interest margin is affected by futures hedging. Our results are as follows: although the risky revenues accrue only in the last period of the bank's planning horizon, the optimal hedging strategy involves futures commitments at all dates. By adapting -a sequential hedging strategy, the bank is able to hedge both the interest rate risk on the spot market at the time of fulfillment of the contracts and the risk of fluctuating forward rates at intermediate trading dates. We demonstrate that the multiperiod hedge exhibits a separation property if the set of futures markets is complete.

Suggested Citation

  • Udo Broll & Johannes Jaenicke, 2000. "Bankrisiko, Zinsmargen und flexibles Futures-Hedging," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 136(II), pages 147-160, June.
  • Handle: RePEc:ses:arsjes:2000-ii-2

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    Cited by:

    1. Bauer, Wolfgang & Ryser, Marc, 2004. "Risk management strategies for banks," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 331-352, February.

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