11. Hedging involves identifying one or more instruments that have a correlation close to 1 with the

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11. Hedging involves identifying one or more instruments that have a correlation close to −1 with the position that the manager seeks to protect, and selecting the appropriate amount of the hedging instrument.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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