Abstract
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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 160-172 |
| Number of pages | 13 |
| Journal | Real Estate Economics |
| Volume | 16 |
| Issue number | 2 |
| DOIs | |
| State | Published - Jan 1 1988 |
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ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics
Cite this
Managing the Short‐Term Interest Rate Exposure Inherent in Adjustable Rate Mortgage Loans. / Heuson, Andrea.
In: Real Estate Economics, Vol. 16, No. 2, 01.01.1988, p. 160-172.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Managing the Short‐Term Interest Rate Exposure Inherent in Adjustable Rate Mortgage Loans
AU - Heuson, Andrea
PY - 1988/1/1
Y1 - 1988/1/1
N2 - 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.
AB - 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.
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UR - http://www.scopus.com/inward/citedby.url?scp=84984074208&partnerID=8YFLogxK
U2 - 10.1111/1540-6229.00452
DO - 10.1111/1540-6229.00452
M3 - Article
AN - SCOPUS:84984074208
VL - 16
SP - 160
EP - 172
JO - Real Estate Economics
JF - Real Estate Economics
SN - 1080-8620
IS - 2
ER -