1.What is the difference between macrohedging and microhedging? That is, the duration of its assets was shorter...
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1.What is the difference between macrohedging and microhedging?
That is, the duration of its assets was shorter (DA = 3) than the duration of its liabilities (DL = 5). (This might be the case for a bank that borrows with long-term notes or term deposits to finance floating-rate loans.) What should its futures position be?
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Related Book For
Financial Institutions Management A Risk Management
ISBN: 9781743073551
4th Edition
Authors: Helen Lange, Anthony Saunders, Marcia Millon Cornett
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