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A Risk Management Tool for Long Liabilities: The Static Control Model
hedge rolls forward in time. Table 1 below walks through the steps. TABLE 1 Monopole Static Hedge ... ′′+=′ 30)1( ZKf ′+ 3030 )( ZKff ′−′ The table assumes that at time t = 0 assets and liabilities ...- Authors: Application Administrator
- Date: Apr 2009
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management