search query: @author Steiner, P. / total: 4
reference: 2 / 4
| Author: | Steiner, P. |
| Title: | Das hedging von zinsreagiblen Bilanzpositionen. |
| Journal: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1990 : SEP, VOL. 42:9, p. 778-793 |
| Index terms: | HEDGING ACCOUNTING FEDERAL REPUBLIC OF GERMANY |
| Language: | ger |
| Abstract: | The paper demonstrates how the consequences of interest rate changes on a balance sheet can be controlled. As a main result of the gap-analysis it can be shown that a duration-matching is a necessary but not sufficient condition to immunize the risk of interest rate changes. Proceedings from Macaulay's duration measure conditions are derived to quantify the interest rate related value changes of assets and liabilities. Furthermore an optimal hedge which guarantees that the result of a balance sheet is independent of interest rate changes can be derived. To simplify the approach a flat yield curve is assumed - but the model can be extended by assuming a bended term structure and different interest rates for asset and liability positions. |
SCIMA