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首页> 外文期刊>Journal of systems science & information >Multi-period Bank Hedging with Interest Rate Futures
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Multi-period Bank Hedging with Interest Rate Futures

机译：利率期货的多期银行对冲

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摘要

In this paper, a model for multi-period bank hedging with interest rate futures is set up. Formulas for the optimal dynamic multi-period bank and static bank hedge ratio are derived. The described model offers the potential benefits of: (1) although these formulas are developed for the case of direct sheet balance multi-period hedging, the framework used is sufficiently flexible so that these formulas can be applied to bank loan or deposit multi-period hedging situations respectively. (2) Periodic modification and updating of the interest rate futures position, as suggested by interest rates, throughout the bank hedging horizons. (3) This paper examines a situation in which the return of loan, the interest rate of deposit and the equity capital of bank, and interest rate futures prices are cointergrated, Multi-period bank hedging formulas are derived under three-dimensional stochastic volatility model. However, empirical research is required for validating this model.
机译：本文建立了带有利率期货的多期银行对冲模型。推导了最优动态多期银行和静态银行对冲比率的公式。所描述的模型具有以下潜在优势：（1）尽管这些公式是针对直接表余额多期对冲而开发的，但所使用的框架具有足够的灵活性，因此这些公式可以应用于银行贷款或存款的多期套期保值情况。 （2）在整个银行对冲范围内，按照利率的建议，定期修改和更新利率期货头寸。 （3）研究了一种情况，即贷款收益率，存款利率和银行股本资本以及利率期货价格是协整的，在三维随机波动率模型下得出了多期银行对冲公式。但是，需要实证研究来验证该模型。

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