Hedging Canadian Short-Term Interest Rates: The Bax Market

John Siam

ISBN 10: 3838302044 / ISBN 13: 9783838302041

Published by LAP LAMBERT Academic Publishing, 2009

About this Item

nach der Bestellung gedruckt Neuware - Printed after ordering - This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio.

Seller Inventory # 9783838302041

Bibliographic Details

• Title: Hedging Canadian Short-Term Interest Rates: The Bax Market
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2009
• Language: English
• ISBN 10: 3838302044
• ISBN 13: 9783838302041
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 10D millimeters 220 millimeters width by 150 millimeters height by 10 millimeters depth
• Weight: 244 grams

About this title

Synopsis

This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio.

About the Author

Dr. Siam is an Assistant Professor at McMaster University and Director of Gould Trading Floor http://gtf.mcmaster.ca/siam/. Research and consultation include markets microstructure, information technology,risk management and business education. Prior, he held the positions of Options Specialist, and Market Maker at the Montreal Exchange.