Managing the Short‐Term Interest Rate Exposure Inherent in Adjustable Rate Mortgage Loans
建立了一个模型，用于确定可调利率抵押贷款中短期利率风险暴露的水平及其随时间的变化，帮助贷款机构设计对冲策略并分析新增贷款对组合风险的影响。
This paper develops a model for determining the level of, and changes over time in, the short‐term interest rate exposure contained in adjustable rate mortgage loans (ARMs). Results of the study indicate that movements in the underlying adjustment index can create both upward‐movement or downward‐movement interest rate risk for lenders whose ARMs carry rate adjustment limits. The model presented here is useful for designing hedging strategies for ARM loans, and for analyzing the impact of new originations on the interest rate exposure of the ARM portfolio.