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Working版 - Re: Front/middle/back office on wal street
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话题: front话题: hedge话题: risk话题: wal
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o**k
发帖数: 5
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Here is a answer I get from other board:
what they hedge depends on their strategy
with mbs, most places probably think their edge is in predicting prepayments
so will likely hedge out everything but prepayment risk
however, prepayments are in part driven by interest rates, so maybe those
secondary effects are left alone.
with abs, credit risk is significant, so maybe interest rates are hedged out
and the firms keep the credit risk.
if you hedge everything out you'll consistently lose money..suc
1 (共1页)
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