|
Die Hedge-Effizienz des Bobl-Futures für Jumbo-Pfandbriefe
Bühler, Wolfgang
;
Düllmann, Klaus
|
Dokumenttyp:
|
Arbeitspapier
|
|
Erscheinungsjahr:
|
1997
|
|
Titel einer Zeitschrift oder einer Reihe:
|
Working Paper / Lehrstuhl für Finanzierung, Universität Mannheim
|
|
Band/Volume:
|
97-9
|
|
Ort der Veröffentlichung:
|
Mannheim
|
|
Sprache der Veröffentlichung:
|
Deutsch
|
|
Einrichtung:
|
Fakultät für Betriebswirtschaftslehre > ABWL u. Finanzierung (Bühler 1990-2009, Em)
|
|
Fachgebiet:
|
330 Wirtschaft
|
|
Abstract:
|
German 'Pfandbriefe', issued by German Mortgage Banks and backed by loans to the public sector or first mortgages, inhabit a huge volume of outstanding issues which contrasts sharply with a lack of adequate hedging instruments. The invention of a 'Pfandbrief' Future will attract new investors to this important segment of the German bond market and further enhance liquidity. Our research focusses on the hedging performance of a simulated Future contract. In a quantitative study we investigate first how well an already existing Future on mid-term German government bonds (socalled 'Bundesobligationen') is suited for hedging 'Pfandbrief' portfolios. The exact specification of a Future contract on German Pfandbriefe is still a matter of discussion between experts which has forced us to make judicious assumptions about its design. This enables us to simulate Future prices and compare its hedging quality for 'Pfandbriefe' with that of the Future on 'Bundesobligationen'. Simulation results which indicate a superior hedging performance of the new Future contract may provide a crucial argument in favour of launching the new product.
|
 | Dieser Eintrag ist Teil der Universitätsbibliographie. |
 Suche Autoren in
Sie haben einen Fehler gefunden? Teilen Sie uns Ihren Korrekturwunsch bitte hier mit: E-Mail
Actions (login required)
 |
Eintrag anzeigen |
|
|
