Hedging and Duration Management with Fixed Income Futures
312.855.7094 . Hedging and Duration Management with Fixed Income Futures . Taipei Interest Rate Futures Conference. November 20, 2003 . Nick Ronalds, CFA

http://www.taifex.com.tw/chinese/9/%25e7%25ac%25ac%25e4%25b8%2580%25e6%2597%25a5%25e7%25ac%25ac%25e4%25b8%2580%25e5%25a0%25b4—Mr.%2520Nicholas%2520Ronalds—ABN%2520AMRO.ppt

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Chapter 24 Integrating Derivative Assets and Portfolio
Can be used in risk management and income generation . Fixed-Income Portfolio . Hedging the bond T-Bond Futures (cont’d) Example . A fixed-income portfolio

http://classes.uleth.ca/200503/mgt4412a/PORTFOLIO/ch24.ppt

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Chapter 12
Continually immunizing a fixed-income portfolio can be time Hedging With Interest Rate Futures (cont’d) Futures Hedging Increasing Duration With Futures .

http://classes.uleth.ca/200901/mgt4451a/ch12.ppt

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Managing Interest Rate Risk: GAP and Earnings Sensitivity
Management’s willingness to allow of equity or net interest income, but not both; Duration GAP bank’s use of futures for hedging

http://faculty.bus.olemiss.edu/kcyree/F538Section2.ppt

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Chapter 19
Hedging portfolio cash inflows Derivatives in Fixed-Income Management . Using Futures in Active Derivatives in Fixed-Income Management . Changing the Duration of a

http://www.mnstate.edu/kalra/Norton/ch19.ppt

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Chapter 24 Integrating Derivative Assets and Portfolio
Chapter is an extended example focusing on risk management and income T-Bond Futures (cont’d) Example . A fixed-income Hedging the Bond Portfolio with Futures

http://faculty.tamucc.edu/sfriday/Courses/FINA%25204332/Power%2520Point/Chapter%252024.ppt

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Fixed Income Instruments 5
Fixed Income Instruments 5 . Zvi In order to hedge an exposure to Norwegian Krone one can use Euro futures. Hedging a portfolio of Note that duration of futures is

http://pluto.mscc.huji.ac.il/~mswiener/teaching/FIFIBI01/FIFIBI01_5.ppt

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Fixed Income Management Evolution or Revolution?
Fixed Income Management Duration problem ? duration of benchmark comes from issuer preferences and is not necessarily duration that a Bond Futures; Interest Rate

http://www.melbournecentre.com.au/mmfc/2008/Susan_Buckley_Presentation.ppt

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Using Derivatives to Manage Interest Rate Risk
Total income from the combined cash and futures positions Hedging: Duration GAP Regulators generally limit a bank’s use of futures for hedging

http://www.thomsonedu.com/resource_uploads/downloads/0324289278_55852.ppt

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STRESS TEST YOUR PORTFOLIO
Equity, fixed income, selection, and risk management combines art and science . Fixed Income . Hedging Interest Rate Risk .

http://www.bermudacaptive.bm/Admin/WFPublication/Uploaded/62_File_5.ppt

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