IDEAS home Printed from https://ideas.repec.org/a/fip/fedlrv/y1984ioctp15-25nv.66no.8.html
   My bibliography  Save this article

Hedging interest rate risk with financial futures: some basic principles

Author

Listed:
  • Michael T. Belongia
  • G. J. Santoni

Abstract

No abstract is available for this item.

Suggested Citation

  • Michael T. Belongia & G. J. Santoni, 1984. "Hedging interest rate risk with financial futures: some basic principles," Review, Federal Reserve Bank of St. Louis, vol. 66(Oct), pages 15-25.
    • Handle: RePEc:fip:fedlrv:y:1984:i:oct:p:15-25:n:v.66no.8
    as

    Download full text from publisher

    File URL: https://files.stlouisfed.org/files/htdocs/publications/review/84/10/Hedging_Oct1984.pdf
    Download Restriction: no
    File URL: https://fraser.stlouisfed.org/scribd/?toc_id=499736&filepath=/docs/publications/frbslreview/rev_stls_198410.pdf&start_page=15#scribd-open
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. George G. Kaufman, 1984. "Measuring and managing interest rate risk: A primer," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 8(Jan), pages 16-29.
    2. Michael R. Asay & Gisela A. Gonzalez & Benjamin Wolkowitz, 1981. "Financial futures, bank portfolio risk, and accounting," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(4), pages 607-618, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chattha, Jamshaid Anwar & Alhabshi, Syed Musa, 2020. "Benchmark rate risk, duration gap and stress testing in dual banking systems," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    2. Michael T. Belongia, 1987. "Predicting interest rates: a comparison of professional and market- based forecasts," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 9-15.
    3. Duan, J. & Sealey, C. W. & Yan, Y., 1999. "Managing banks' duration gaps when interest rates are stochastic and equity has limited liability," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 253-265, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sokol Ndoka & Anilda Bozdo, 2015. "Analysis of Interest Rate Impact on the Profitability Level of the Banking System in Albania during the Period 2005 -2014," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 1, September.
    2. Anatoli Kuprianov, 1998. "Money market futures," Monograph, Federal Reserve Bank of Richmond, number 1998mm.
    3. Galen Sher & Giuseppe Loiacono, 2013. "Maturity Transformation and Interest Rate Risk in Large European Bank Loan Portfolios," EcoMod2013 5442, EcoMod.
    4. Dai, Ya & Guo, Liang & Zhang, Hongxian & Liu, Yu, 2020. "On-balance-sheet duration hedging and firm value," International Review of Financial Analysis, Elsevier, vol. 71(C).
    5. Patric H. Hendershott & James D. Shilling, 1991. "The Continued Interest-Rate Vulnerability of Thrifts," NBER Chapters, in: Financial Markets and Financial Crises, pages 259-282, National Bureau of Economic Research, Inc.
    6. Lara Coulier & Cosimo Pancaro & Alessio Reghezza, 2024. "Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1091, Ghent University, Faculty of Economics and Business Administration.
    7. David L. Mengle & John R. Walter, 1985. "A review of bank performance in the Fifth District, 1984," Economic Review, Federal Reserve Bank of Richmond, vol. 71(Jul), pages 12-22.
    8. Kane, Edward J & Unal, Haluk, 1990. "Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms," Journal of Finance, American Finance Association, vol. 45(1), pages 113-136, March.
    9. G. J. Santoni, 1984. "Interest rate risk and the stock prices of financial institutions," Review, Federal Reserve Bank of St. Louis, vol. 66(Aug), pages 12-20.
    10. Ludwig Hausse & Martin Rohleder & Marco Wilkens, 2016. "Systemic interest rate and market risk at US banks," Journal of Business Economics, Springer, vol. 86(8), pages 933-961, November.
    11. James Gilkeson & Sylvia Hudgins & Craig Ruff, 1997. "Testing the effectiveness of regulatory interest rate risk measurement," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 27-37, June.
    12. Duan, J. & Sealey, C. W. & Yan, Y., 1999. "Managing banks' duration gaps when interest rates are stochastic and equity has limited liability," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 253-265, September.
    13. Anatoli Kuprianov, 1986. "Short-term interest rate futures," Economic Review, Federal Reserve Bank of Richmond, vol. 72(Sep), pages 12-26.
    14. Richard Sheehan, 2013. "Valuing Core Deposits," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(2), pages 197-220, April.

    More about this item

    Keywords

    Risk management; Hedging (Finance);

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedlrv:y:1984:i:oct:p:15-25:n:v.66no.8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Scott St. Louis (email available below). General contact details of provider: https://edirc.repec.org/data/frbslus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.