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- W1492128389 abstract "This article proposes two extensions of current practice in applying duration gaps for macrohedging the equity position of a financial institution against interest rate risk. The first adjusts for the relative convexities of the asset and liability portfolios, which we call the convexity gap. When the second-order (convexity) condition is not satisfied, satisfying the first-order (duration) condition is not sufficient to achieve a perfect hedge against interest rate risk. The second extension shows how to modify duration gaps recognizing that banks and other financial institutions hold assets that are not default-free. Numerical examples demonstrate that ignoring this adjustment introduces considerable hedging error." @default.
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- W1492128389 date "2005-01-06" @default.
- W1492128389 modified "2023-10-12" @default.
- W1492128389 title "Macrohedging for Financial Institutions: Beyond Duration" @default.
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