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Hedging Interest Rate Risk Under Term Structure Effects: An Application To Financial Institutions

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  • Jimmy E. Hilliard
  • Susan D. Jordan

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  • Jimmy E. Hilliard & Susan D. Jordan, 1992. "Hedging Interest Rate Risk Under Term Structure Effects: An Application To Financial Institutions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(4), pages 355-368, December.
    • Handle: RePEc:bla:jfnres:v:15:y:1992:i:4:p:355-368
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1992.tb00118.x
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    References listed on IDEAS

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    1. Hilliard, Jimmy E. & Jordan, Susan D., 1989. "Hedging Interest Rate Risk with Futures Portfolios under Full-Rank Assumptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 217-240, June.
    2. Robert W. Kolb & Raymond Chiang, 1982. "Duration, Immunization, And Hedging With Interest Rate Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(2), pages 161-170, June.
    3. Flannery, Mark J & James, Christopher M, 1984. "The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions," Journal of Finance, American Finance Association, vol. 39(4), pages 1141-1153, September.
    4. Hilliard, Jimmy E. & Jordan, Susan D., 1991. "Measuring Risk in Fixed Payment Securities: An Empirical Test of the Structured Full Rank Covariance Matrix," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 345-362, September.
    5. Hilliard, Jimmy E, 1984. "Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effects," Journal of Finance, American Finance Association, vol. 39(5), pages 1547-1570, December.
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    Cited by:

    1. Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, University Library of Munich, Germany.

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