Hedging Corporate Bonds
研究用国债期货、股指期货、互换曲线和假设的公司债券资产来对冲公司债券组合，发现信用质量和期限是低评级债券对冲中的基差风险来源，并指出若交易成本不高，新的公司债券对冲工具有用。
We examine Treasury bond and stock index futures, the swap curve and two types of hypothetical corporate bond assets as alternative hedging instruments for portfolios of corporate bonds. Conducting ex post and ex ante tests we find evidence that credit quality and maturity are important sources of basis risk when hedging corporate bonds whose credit rating are below triple A. We conclude that a new corporate hedging instrument may be useful for those wishing to hedge corporate bond portfolios provided that transaction costs are not too high relative to existing futures contracts.