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Hedges in the warehouse: the banks get trimmed
Gordon, Brian; D'Silva, Adrian
(2008-04)
When banks ?warehouse? loans, that is, hold them temporarily before selling them through securitizations, how do they protect themselves against credit risk? This article examines the effectiveness of hedging strategies in the context of the recent heavy losses in financial markets.
Chicago Fed Letter
, Issue Apr
Journal Article
Managing interest rate risk with interest rate futures
Morris, Charles S.
(1989-03)
Economic Review
, Volume 74
, Issue Mar
, Pages 3-20
Working Paper
Discrete option replication with transactions costs: an analysis of hedging errors
Abken, Peter A.
(1988)
FRB Atlanta Working Paper
, Paper 88-10
Report
Mortgage security hedging and the yield curve
Mosser, Patricia C.; Keane, Frank M.; Fernald, Julia D.
(1994)
Research Paper
, Paper 9411
Journal Article
The convexity trap: pitfalls in financing mortgage portfolios and related securities
Smith, Stephen D.; Gilkeson, James H.
(1992-11)
Economic Review
, Issue Nov
, Pages 14-27
Working Paper
Hedging with mispriced futures
Merrick, John J.
(1987)
Working Papers
, Paper 87-11
Report
Market liquidity and trader welfare in multiple dealer markets: evidence from dual trading restrictions
Locke, Peter; Sarkar, Asani; Wu, Lifan
(1997)
Dual trading is the practice whereby futures floor traders execute trades both for their own and customers' accounts on the same day. We provide evidence, in the context of restrictions on dual trading, that aggregate liquidity measures, such as the average bid-ask spread, may be misleading indicators of traders' welfare in markets with multiple, heterogeneously skilled dealers. In our theoretical model, hedgers and informed customers trade through futures floor traders of different skill levels: more skilled floor traders attract more hedgers to trade. We show that customers' welfare and ...
Research Paper
, Paper 9721
Report
Alternative instruments for hedging inflation risk in the banking industry
Lee, Cheng Few; Koppenhaver, Gary D.
(1987)
Staff Memoranda
, Paper 87-5
Conference Paper
The derivatives activities of U.S. commercial banks
Carter, David; Sinkey, Joseph F.
(1994)
Proceedings
, Paper 29
Report
An analysis of CDS transactions: implications for public reporting
Chen, Kathryn; Sarkar, Asani; Li, Ada; Fleming, Michael J.; Jackson, John
(2011)
Ongoing regulatory reform efforts aim to make the over-the-counter derivatives market more transparent by introducing public reporting of transaction-level information, including price and volume of trades. However, to date there has been a scarcity of data on the structure of trading in this market. This paper analyzes three months of global credit default swap (CDS) transactions and presents findings on the market composition, trading dynamics, and level of standardization. We find that trading activity in the CDS market is relatively low, with a majority of reference entities for ...
Staff Reports
, Paper 517
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