کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5089938 | 1375611 | 2011 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Alternative models for hedging yield curve risk: An empirical comparison
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We test alternative models of yield curve risk by hedging US Treasury bond portfolios through note/bond futures. We show that traditional implementations of models based on principal component analysis, duration vectors and key rate duration lead to high exposure to model errors and to sizable transaction costs, thus lowering the hedging quality. Also, this quality randomly varies from one model and hedging problem to the other. We show that accounting for the variance of modeling errors substantially reduces both hedging errors and transaction costs for all considered models. Additionally, it leads to much more stable weights in the hedging portfolios and - as a result - to more homogeneous hedging quality. On this basis, error-adjusted principal component analysis is found to systematically and significantly outperform alternative models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 35, Issue 11, November 2011, Pages 2991-3000
Journal: Journal of Banking & Finance - Volume 35, Issue 11, November 2011, Pages 2991-3000
نویسندگان
Nicola Carcano, Hakim Dall'O,