Search Results

Showing results 1 to 10 of approximately 62.

(refine search)
Keywords:Hedging (Finance) 

Journal Article
Correlation products and risk management issues

Unlike standard derivatives instruments, correlation products contain nonseparable risk, meaning that the price sensitivity of one risk factor is a function of the level of another risk factor. This article outlines the pricing and hedging of one type of correlation product, the differential swap, to show how nonseparable risk may escape traditional methods of assessing the risk of institutions' portfolios. The article considers the implications of correlation products for supervisory and institutional practices and concludes with a brief discussion of some ways nonseparable risk may be ...
Economic Policy Review , Volume 1 , Issue Oct , Pages 7-20

Working Paper
Transaction costs and option configuration

Working Papers , Paper 89-18

Working Paper
A note on forward biases and equilibrium foreign exchange hedging in a production economy

FRB Atlanta Working Paper , Paper 92-9

Conference Paper
Hedging bank liquidity risk

Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments. Bank stock-return volatility increases with unused commitments, but the increase is smaller for banks with high levels of transactions deposits. This deposit-lending risk management synergy becomes more powerful during periods of tight liquidity, when nervous investors move funds into their banks. Our results reverse the standard notion of liquidity risk at banks, where runs ...
Proceedings , Paper 1024

Working Paper
Hedging and financial fragility in fixed exchange rate regimes

Currency crises that coincide with banking crises tend to share four elements. First, governments provide guarantees to domestic and foreign bank creditors. Second, banks do not hedge their exchange rate risk. Third, there is a lending boom before the crises. Finally, when the currency/banking collapse occurs interest rates rise and there is a persistent decline in output. This paper proposes an explanation for these regularities. We show that government guarantees lower interest rates, and generate an economic boom. But they also lead to a more fragile banking system: banks choose not to ...
Working Paper Series , Paper WP-99-11

Securities lending

This paper, originally released in August 1989 as part of a Federal Reserve Bank of New York series on the U.S. securities markets, examines loans of Treasury and agency securities in the domestic market. It highlights some important institutional characteristics of securities loan transactions, in particular the common use of agents to arrange the terms of the loans. While we note that this characteristic sets securities lending apart from most repurchase agreement (repo) transactions, which occur bilaterally between a borrower and a lender, we observe that repo and securities loan ...
Staff Reports , Paper 555

Journal Article
Mortgage security hedging and the yield curve

The authors find that the use of Treasury securities to hedge mortgage-backed security extension risk may have magnified increases in long-term interest rates after the tightening of monetary policy in early 1994. Substantial increases in the duration of mortgage securities appear to have caused realignments of hedges and portfolios that, in turn, had a significant impact on the short-run movements of the Treasury market, particularly for ten-year securities. This phenomenon may have altered the short-run dynamics of the yield curve and thus changed the transmission of monetary policy.
Quarterly Review , Volume 19 , Issue Sum , Pages 92-100

Journal Article
Is exchange risk hedgable?

FRBSF Economic Letter

Mortgage security hedging and the yield curve

Research Paper , Paper 9411

Journal Article
The pricing and hedging of market index deposits

Quarterly Review , Volume 12 , Issue Sum


FILTER BY Content Type

Working Paper 21 items

Journal Article 20 items

Report 9 items

Conference Paper 8 items

Newsletter 3 items

Discussion Paper 1 items

show more (1)


Abken, Peter A. 4 items

Keane, Frank M. 4 items

Sarkar, Asani 4 items

Kambhu, John 3 items

Mosser, Patricia C. 3 items

Nandi, Saikat 3 items

show more (76)

FILTER BY Keywords