Bankrisiko, Zinsmargen und flexibles Futures-Hedging

Udo Broll and Johannes Jaenicke

Swiss Journal of Economics and Statistics (SJES), 2000, vol. 136, issue II, 147-160

Abstract: In recent years, managers have become increasingly aware of how their organizations can be affected by risks beyond their control. Financial futures are commonly used as hedging instruments by banking firms to insure against interest rate risk. The paper examines the volatility of bank interest rates. We analyze how banking firms may use hedging instruments in order to insure against the resulting interest rate risk and how optimal interest margin is affected by futures hedging. Our results are as follows: although the risky revenues accrue only in the last period of the bank's planning horizon, the optimal hedging strategy involves futures commitments at all dates. By adapting -a sequential hedging strategy, the bank is able to hedge both the interest rate risk on the spot market at the time of fulfillment of the contracts and the risk of fluctuating forward rates at intermediate trading dates. We demonstrate that the multiperiod hedge exhibits a separation property if the set of futures markets is complete.

Date: 2000
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