search query: @author Chiang, R. / total: 6
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| Author: | Anderson, G. Chiang, R. |
| Title: | Interest rate risk hedging for due-on-sale mortgages with early termination. |
| Journal: | Journal of Financial Research
1987 : SUMMER, VOL. 10:2, p. 133-142 |
| Index terms: | MORTGAGES INTEREST RATES HEDGING |
| Language: | eng |
| Abstract: | An examination of the impact of random early termination on interest rate flexibility and hedging a mortgage security. Computing a duration using average mortgage life is shown to be insufficient, and as mortgage prepayment distributions have wide dispersions, substantial errors result. The study covers traditional interest rate sensitivity, property of duration with due-on-sale, biases in mean turnover and hedging strategy. Two Tables and five equations are given. |
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