Assume an FI has assets of $250 million and liabilities of $200 million. The duration of the
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a. What number of futures contracts is needed to construct a perfect hedge if br = 1.10?
b. If (Rf/(1+Rf) = 0.0990, what is the expected (R/(1+R)?
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Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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