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Analisis of the effectiveness of fixed income hedging on treasury's trading activities - Case of CN Bank in Indonesia period 2012 - 2016
Bond is still majorly traded financial instrument by banking institutions in Indonesia. As most of financial instrument, bonds are exposed to the market condition, known as market risk. During the observed period, performance of bond trading portfolio of CN bank was fluctuated along with the market condition even though the traders has done the anticipation by doing hedge to the asset. This study focus on measuring the hedge effectiveness of the bond trading portfolio of the trader by using dollar offset method and regression analysis and the analysis were performed in two parts, by full overall data and by each respective year during observation period. The result shows that in overall, trader‟s hedge ratio was within range of effectiveness, but not for the yearly analysis due to the fact that there are several factors that prevent the traders to achieve its full perfect hedge ratio. Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| T 097/17 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Jakarta: Program Studi Magister Manajemen Fakultas Ekonomi dan Bisnis UI 2017 |
|---|---|
| Edisi | - |
| Subjek | Brands Trading Hedging Market volatility Hedge ratio |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xi, 91 p. : il. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |