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| Tekijä: | Leschhorn, H. |
| Otsikko: | Managing Yield-Curve Risk with Combination Hedges |
| Lehti: | Financial Analysts' Journal
2001 : MAY-JUN, VOL. 57:3, p. 63-75 |
| Asiasana: | RISK HEDGING FINANCIAL MARKETS |
| Kieli: | eng |
| Tiivistelmä: | The method presented here to evaluate and regulate the risk exposure of default-free bonds generalizes the traditional duration concept by taking nonparallel changes in the term structure of interest rates into account. The article shows how to immunize a default-free bond by hedging with two standard hedging instruments (a combination hedge) and how to replicate a diversified bond portfolio by using a few standard hedging instruments. This standard hedging instrument representation can provide comprehensive information about the risk structure of the portfolio, and trading the standard hedging instruments can help fine-tune a position. |
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