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2#
发表于 2011-7-11 19:01
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3) can tie prepayment risk to rate risk risk (eg rates down, pp risk up) and take a position in a relevant rate option.
4) you can attribute an amount of the vol risk to rates vol, and again take a position in a relevant instrument (vanilla option, vol swaps etc). the component that really relates to collateral quality, you can't really hedge. you could take a position in a related index (cmbx/primex) (essentially a credit vol) but the market is thin, and its not a great hedge against vol (more a hedge against the collateral quality itself, ie a delta hedge)
5) no hedge |
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