動態地Hedcing抵押保證安全的一個新戰略(英文)(pdf 30頁)

Abstract
This paper develops a new strategy for dynamically hedging mortgage-backed securities (MBSs).
The approach involves estimating the joint distribution of returns on MBSs and T-note futures, conditional
on current economic conditions. We show that our approach has a simple intuitive interpretation
of forming a hedge ratio by dierentially weighting past pairs of MBS and T-note futures returns. An
out-of-sample hedging exercise is performed for 8%, 9% and 10% GNMAs over the 1990-1994 period for
weekly and monthly return horizons. The dynamic approach is very successful at hedging out the interest
rate risk inherent in all of the GNMAs. For example, in hedging weekly returns on 10% GNMAs,
our dynamic method reduces the volatility of the GNMA return from 41 to 24 basis points, whereas a
static method manages only 29 basis points of residual volatility. Moreover, only 1 basis point of the
volatility of the dynamically hedged return can be attributed to risk associated with U.S. Treasuries,
which is in contrast to 14 basis points of interest rate risk in the statically hedged return.
Stern School of Business, NYU; Wharton School, University of Pennsylvania; Haas School of Business, UC
Berkeley; and Stern School of Business, NYU. We would like to thank the Q Group for nancial support.……
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