Bankrisiko, Zinsmargen und flexibles Futures-Hedging
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.
Volume (Year): 136 (2000)
Issue (Month): II (June)
|Contact details of provider:|| Postal: c/o SNB/BNS, Börsenstrasse 15, PO Box 2800, CH-8022 Zürich|
Phone: +41 58 631 32 34
Web page: http://www.sjes.ch
More information through EDIRC
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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Steiner)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.