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| Author: | Naik, N. Y. Yadav, P. K. |
| Title: | Risk management with derivatives by dealers and market quality in government bond markets |
| Journal: | Journal of Finance
2003 : OCT, VOL. 58:5, p. 1873-1904 |
| Index terms: | Bond markets Risk management Dealers |
| Language: | eng |
| Abstract: | The authors investigate how bond dealers manage core business risk with interest rate futures and the extent to which market quality is affected by their selective risk taking. The authors observe that dealers use futures to take directional bets and hedge changes in their spot exposure. They find that, cross-sectionally, a dealer with longer (shorter) risk exposure sells (buys) a larger amount of exposure the next day. However, this risk control takes place via the futures market and not the spot market. |
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