IDEAS home Printed from https://ideas.repec.org/a/ses/arsjes/2000-ii-2.html
   My bibliography  Save this article

Bankrisiko, Zinsmargen und flexibles Futures-Hedging

Author

Listed:
  • Udo Broll
  • Johannes Jaenicke

Abstract

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
    as

    Download full text from publisher

    File URL: http://www.sjes.ch/papers/2000-II-2.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Udo Broll & Peter Welzel, 2003. "A Note on Hedging a Loan Portfolio," Discussion Paper Series 250, Universitaet Augsburg, Institute for Economics.
    2. Bauer, Wolfgang & Ryser, Marc, 2004. "Risk management strategies for banks," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 331-352, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ses:arsjes:2000-ii-2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kurt Schmidheiny (email available below). General contact details of provider: https://edirc.repec.org/data/sgvssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.