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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Financial Institutions Management A Risk Management

ISBN: 9781743073551

4th Edition

Authors: Helen Lange, Anthony Saunders, Marcia Millon Cornett

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