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Explain the risks of the interest rate swap position and should it be hedged in this scenario? What impact might it have on the re

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Explain the risks of the interest rate swap position and should it be hedged in this scenario? What impact might it have on the rest of the portfolio?

The asset manager wants to fully hedge the interest rate risk on the bonds by using bond futures and to hedge the equity risk by using index futures. Calculate the appropriate number of bond and equity futures that should be sold. You may assume that the portfolio of German equities has a beta of one to the German DAX index The asset manager would like to hedge the receipt of $50,000,000 to be received in one years’ time from the maturity of the one year interbank deposit. Using current datacalculate a one year €/$ forward rate and explain how it could be used to hedge the currency risk.


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  • Title: Explain the risks of the interest rate swap position and should it be hedged in this scenario? What impact might it have on the rest of the portfolio?
  • Price: £ 129
  • Post Date: 2018-11-10T09:43:14+00:00
  • Category: Assignment
  • No Plagiarism Guarantee
  • 100% Custom Written

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Explain the risks of the interest rate swap position and should it be hedged in this scenario? What impact might it have on the rest of the portfolio? Explain the risks of the interest rate swap position and should it be hedged in this scenario? What impact might it have on the rest of the portfolio?
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