Financial Risk Management - Bond Duration, Future Contracts and Hedging
Calculate the duration of the future position, determine whether the bank should go short or long on the futures contracts, and calculate the number of contracts necessary to fully hedge the bank.
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Added on 2023-06-03
About This Document
This article discusses bond duration, future contracts and hedging in financial risk management. It explains how to calculate the duration of a bond and the number of future contracts required to hedge against interest rate changes. It also highlights the importance of hedging to ensure that the bank is fully protected against market risks.
Financial Risk Management - Bond Duration, Future Contracts and Hedging
Calculate the duration of the future position, determine whether the bank should go short or long on the futures contracts, and calculate the number of contracts necessary to fully hedge the bank.
Added on 2023-06-03
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