Hedging The Interest Rate Risk Of Gnm As.

Kreider, Steven K.

Etd

Hedging The Interest Rate Risk Of Gnm As. Public Deposited

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Date Uploaded: 03/26/2018
Date Modified: 03/26/2018

This dissertation is an empirical study of alternative strategies for hedging the interest rate risk of GNMAs. Four hedging strategies are considered: (1) the short sale of Treasury note futures, (2) the short sale of Treasury bond futures, (3) the simultaneous short sale of Treasury bond futures and Eurodollar certificate of deposit futures, and (4) the purchase of put options on Treasury bond futures. Each of these strategies is evaluated in simulations constructed with daily price series for seven different GNMA coupons covering the period from January 1985 to March 1987. Hedge ratios were computed using modified Macaulay duration and six different models of GNMA price sensitivity.

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