22-60 The number of futures contracts that an FI should buy or sell in a macrohedge depends on the
A)size of its interest rate risk exposure.
B)direction of its interest rate risk exposure.
C)return risk trade-off from fully hedging that risk.
D)return risk trade-off from selectively hedging that risk.
E)All of the above.

Question

Quizplus · Accepted Answer

The number of futures contracts that an FI should buy or sell in a macrohedge depends on the size and direction of its interest rate risk exposure, as well as the return risk trade-off from fully or selectively hedging that risk. Therefore, all of the above options are important factors to consider when determining the appropriate amount of futures contracts to trade.

22-60 the Number of Futures Contracts That an FI Should