Bank hedging in futures markets: an integrated approach to exchange and interest rate risk management
This study investigates the simultaneous use of interest rate and currency futures markets to hedge the exchange and interest rate risks faced by banks. Banks in this study accept short-term variable rate deposits, hold many different foreign currencies, and make long-term fixed rate loans. The expe...
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| Format: | Others |
| Language: | en |
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Virginia Tech
2014
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| Online Access: | http://hdl.handle.net/10919/39770 http://scholar.lib.vt.edu/theses/available/etd-10122005-134428/ |