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spr
Topic Author
Posts: 1
Joined: June 15th, 2017, 9:20 pm

FRA's

June 29th, 2017, 8:45 am

Hi all!
I have not expirience in FRA's trading at now, but trying to investigate.
How banks are hegde their FRA portfolio?
I know that FRA 3*6 can be synthetically construct from money market rates 3m and 6m, but what to do if in real market have not any liquidity in 3m and 6m tenor? And STIR futures are not trade too.
Anyone know how hedge it case?

Thanks.

  
 
User avatar
Martinghoul
Posts: 188
Joined: July 18th, 2006, 5:49 am

Re: FRA's

June 29th, 2017, 3:21 pm

If there are no instruments to hedge with, then it's a risk that cannot be hedged.
 
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cold0904
Posts: 1
Joined: November 13th, 2008, 11:53 am

Re: FRA's

July 27th, 2017, 2:11 pm

2nd order aside, you are hedging your exposure to forward interest. What other instruments are trading (directly or indirectly) forward rates. Which currency are you talking about ?