范晕(Yun Fan) US fixed income asset manager, the portfolio invests in Ts, noncallable corporate bonds and MBS (mortgage backed security).
范晕说：mortgage securities have significant exposure to volatility risks. Our expectation is that the current implied interest rate volatility will exceed future realized interest rate volatility. Therefore it should be appropriate to manage volatility risk by hedging dynamically or by using options.
Question：Given the current implied interest rate volatility will exceed future realized interest rate volatility (as in the statement), Fan's most appropriate action following a decline in interest rate would be to :
发表于 2010-5-22 07:16
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