Die Hedge-Effizienz des Bobl-Futures für Jumbo-Pfandbriefe

Bühler, Wolfgang ; Düllmann, Klaus

Document Type: Working paper
Year of publication: 1997
The title of a journal, publication series: Working Paper / Lehrstuhl für Finanzierung, Universität Mannheim
Volume: 97-9
Place of publication: Mannheim
Publication language: German
Institution: Business School > ABWL u. Finanzierung (Bühler 1990-2009, Em)
Subject: 330 Economics
Abstract: German 'Pfandbriefe', issued by German Mortgage Banks and backed by loans to the public sector or first mortgages, inhabit a huge volume of outstanding issues which contrasts sharply with a lack of adequate hedging instruments. The invention of a 'Pfandbrief' Future will attract new investors to this important segment of the German bond market and further enhance liquidity. Our research focusses on the hedging performance of a simulated Future contract. In a quantitative study we investigate first how well an already existing Future on mid-term German government bonds (socalled 'Bundesobligationen') is suited for hedging 'Pfandbrief' portfolios. The exact specification of a Future contract on German Pfandbriefe is still a matter of discussion between experts which has forced us to make judicious assumptions about its design. This enables us to simulate Future prices and compare its hedging quality for 'Pfandbriefe' with that of the Future on 'Bundesobligationen'. Simulation results which indicate a superior hedging performance of the new Future contract may provide a crucial argument in favour of launching the new product.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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