Multi-period Bank Hedging with Interest Rate Futures  

作　　者：Hezhong Li Haibo Kuang 

机构地区：[1]School of Management, Dalian University of Technology, Dalian 116024, Liaoning, China

出　　处：《Journal of Systems Science and Information》2009年第1期65-76,共12页系统科学与信息学报（英文）

基　　金：This project is supported by National Natural Science Foundation of China （70873014）

摘　　要：In this paper, a model for multi-period bank hedging with interest rate futures is set up. Formulas for the optimal dynamic multi-period bank and static bank hedge ratio are derived. The described model offers the potential benefits of： （1） although these formulas are developed for the case of direct sheet balance multi-period hedging, the framework used is sufficiently flexible so that these formulas can be applied to bank loan or deposit multi-period hedging situations respectively. （2） Periodic modification and updating of the interest rate futures position, as suggested by interest rates, throughout the bank hedging horizons. （3） This paper examines a situation in which the return of loan, the interest rate of deposit and the equity capital of bank, and interest rate futures prices are cointergrated, Multi-period bank hedging formulas are derived under three-dimensional stochastic volatility model. However, empirical research is required for validating this model.

关 键 词：interest rate futures multi-period bank hedging stochastic volatility model 

分 类 号：F832.4[经济管理—金融学] F830.9