A Guide To Managing Interest Rate Risk

Author : Beata Lubinska
Publisher : John Wiley & Sons
Page : 263 pages
File Size : 48,5 Mb
Release : 2021-11-01
Category : Business & Economics
ISBN : 9781119755012

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Interest Rate Risk in the Banking Book by Beata Lubinska Pdf

Introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations. Interest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding the banking industry for the last couple of years. The importance of IRRBB is shifting for banks, away from ‘just’ a regulatory requirement to having an impact on the overall profitability of a financial institution. Interest Rate Risk in the Banking Book sheds light on the best practices for managing this importance risk category and provides detailed analysis of the hedging strategies, practical examples, and case studies based on the author’s experience. This handbook is rich in practical insights on methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department and is helpful in improving and optimizing their IRRBB framework and strategy. By the end of this IRRBB journey, the reader will be equipped with all the necessary tools to build a proactive and compliant framework within a financial institution. Gain an updated understanding of the evolving regulatory landscape for IRRBB Learn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts • Understand how customer behavior impacts interest rate risk and how to manage the consequences Examine case studies illustrating key IRRBB exposures and their implications Written by London market risk expert Beata Lubinska, Interest Rate Risk in the Banking Book is the authoritative resource on this evolving topic.

Author : Donna M. Howe
Publisher : Prentice Hall
Page : 368 pages
File Size : 44,6 Mb
Release : 1992
Category : Business & Economics
ISBN : UOM:49015001397398

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A Guide to Managing Interest-rate Risk by Donna M. Howe Pdf

Author : Benton E. Gup,Robert Brooks
Publisher : Irwin Professional Publishing
Page : 276 pages
File Size : 45,5 Mb
Release : 1993-01
Category : Business & Economics
ISBN : 1557383707

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Interest Rate Risk Management by Benton E. Gup,Robert Brooks Pdf

In Interest Rate Risk Management experts Benton Gup and Robert Brooks explain how banks and other types of financial institutions can use derivative securities to reduce interest rate risk. Comprehensive and in-depth, the book examines the effects of interest rate risk; the effects of interest rate changes on the value of financial assets; traditional and state-of-the art asset liability management techniques; how to hedge interest rate risks using forwards, futures, swaps and various types of options; regulatory and accounting considerations; and interest rate risk management policies. Thorough appendices provide greater detail through discussion of technical details and mathematics. An extensive glossary is provided for quick reference.

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 52,8 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Anonim
Publisher : Unknown
Page : 488 pages
File Size : 41,7 Mb
Release : 1995
Category : Electronic
ISBN : OCLC:932325189

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The Practitioner's Guide to Interest Rate Risk Management by Anonim Pdf

Author : Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva
Publisher : John Wiley & Sons
Page : 429 pages
File Size : 49,7 Mb
Release : 2005-05-31
Category : Business & Economics
ISBN : 9780471737445

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Interest Rate Risk Modeling by Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva Pdf

The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.

Author : Jack Clark Francis,Avner S. Wolf
Publisher : Irwin Professional Publishing
Page : 832 pages
File Size : 50,7 Mb
Release : 1994
Category : Business & Economics
ISBN : 1556233825

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The Handbook of Interest Rate Risk Management by Jack Clark Francis,Avner S. Wolf Pdf

Risk management products and derivatives have grown ever more numerous and diverse since the late 1980s. Investors need to know which ones will best serve their needs in today's dynamic bond market. This book reveals how more than three dozen experts control and preserve the value of their own fixed income portfolios--from choosing the right risk management product to monitoring and evaluating the effectiveness of hedge management strategies. Shows investors how to make the best use of swaps, options, futures, and other risk management products in the market; identify and measure a portfolio's or corporation's risk exposure; and more.

Author : Ghassem A. Homaifar
Publisher : John Wiley & Sons
Page : 400 pages
File Size : 48,9 Mb
Release : 2004-03-23
Category : Business & Economics
ISBN : 9780471557333

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Managing Global Financial and Foreign Exchange Rate Risk by Ghassem A. Homaifar Pdf

A comprehensive guide to managing global financial risk From the balance of payment exposure to foreign exchange and interest rate risk, to credit derivatives and other exotic options, futures, and swaps for mitigating and transferring risk, this book provides a simple yet comprehensive analysis of complex derivatives pricing and their application in risk management. The risk posed by foreign exchange transactions stems from the volatility of the exchange rate, the volatility of the interest rates, and factors unique to individual companies which are interrelated. To protect and hedge against adverse currency and interest rate changes, multinational corporations need to take concrete steps for mitigating these risks. Managing Global Financial and Foreign Exchange Rate Risk offers a thorough treatment of price, foreign currency, and interest rate risk management practices of multinational corporations in a dynamic global economy. It lays out the pros and cons of various hedging instruments, as well as the economic cost benefit analysis of alternative hedging vehicles. Written in a detailed yet user–friendly manner, this resource provides treasurers and other financial managers with the tools they need to manage their various exposures to credit, price, and foreign exchange risk. Managing Global Financial and Foreign Exchange Rate Risk covers various swaps in this geometrically growing field with notional principal in excess of $120 trillion. From caplet and corridors to call and put swaptions this book covers the micro structure of the swaps, options, futures, and foreign exchange markets. From credit default swap and transfer and convertibility options to asset swap switch and weather derivatives this book illustrates their simple pricing and application. To show real-world examples, each chapter includes a case study highlighting a specific problem, as well as a set of steps to solve it. Numerous charts accompanied with actual Wall Street figures provide the reader with the opportunity to comprehend and appreciate the role and function of derivatives, which are often misunderstood in the financial market. This detailed resource will guide the individual, government and multinational corporations safely through the maze of various exposures. A must-read for treasures, controllers, money mangers, portfolio managers, security analyst and academics, Managing Global Financial and Foreign Exchange Rate Risk represents an important collection of up-to-date risk management solutions. Ghassem A. Homaifar is a professor of financial economics at Middle Tennessee State University. He has Master of Science in Industrial Management from State University of New York at Stony Brook and PhD in Finance from University of Alabama in 1982. He is the author of numerous articles that have appeared in the Journal of Risk and Insurance, Journal of Business Finance and Accounting, Weltwirtschsftliches Archiv Review of World Economics, Advances in Futures and Options Research,Applied Financial Economics, Applied Economics, International Economics, and Global Finance Journal.

Author : Victor Macrae
Publisher : Pearson UK
Page : 233 pages
File Size : 40,8 Mb
Release : 2015-04-28
Category : Business & Economics
ISBN : 9781292017587

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Mastering Interest Rate Risk Strategy by Victor Macrae Pdf

Author : Steven M. Bragg
Publisher : John Wiley & Sons
Page : 309 pages
File Size : 52,8 Mb
Release : 2010-03-02
Category : Business & Economics
ISBN : 9780470497081

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Treasury Management by Steven M. Bragg Pdf

TREASURY MANAGEMENT The Practitioner's Guide Treasury Management: The Practitioner's Guide describes all aspects of the treasury function. This comprehensive book includes chapters covering the treasury department, cash transfer methods, cash forecasting, cash concentration, working capital management, debt management, equity management, investment management, foreign exchange risk management, interest risk management, clearing and settlement systems, and treasury systems. If you are a treasurer, CFO, cash manager, or controller, Treasury Management: The Practitioner's Guide allows you to quickly grasp the real world of treasury management and the many practical and strategic issues faced by treasurers and financial professionals today.

Author : Bernard Manson
Publisher : Unknown
Page : 0 pages
File Size : 46,9 Mb
Release : 1993
Category : Electronic
ISBN : OCLC:874539506

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The Practitioner's Guide to Interest Rate Risk Management by Bernard Manson Pdf

Author : Siddhartha Jha
Publisher : John Wiley & Sons
Page : 373 pages
File Size : 49,7 Mb
Release : 2011-02-11
Category : Business & Economics
ISBN : 9781118017791

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Interest Rate Markets by Siddhartha Jha Pdf

How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models

Author : Steve L. Allen
Publisher : John Wiley & Sons
Page : 608 pages
File Size : 54,6 Mb
Release : 2012-12-19
Category : Business & Economics
ISBN : 9781118226520

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Financial Risk Management by Steve L. Allen Pdf

A top risk management practitioner addresses the essentialaspects of modern financial risk management In the Second Edition of Financial Risk Management +Website, market risk expert Steve Allen offers an insider'sview of this discipline and covers the strategies, principles, andmeasurement techniques necessary to manage and measure financialrisk. Fully revised to reflect today's dynamic environment and thelessons to be learned from the 2008 global financial crisis, thisreliable resource provides a comprehensive overview of the entirefield of risk management. Allen explores real-world issues such as proper mark-to-marketvaluation of trading positions and determination of needed reservesagainst valuation uncertainty, the structuring of limits to controlrisk taking, and a review of mathematical models and how they cancontribute to risk control. Along the way, he shares valuablelessons that will help to develop an intuitive feel for market riskmeasurement and reporting. Presents key insights on how risks can be isolated, quantified,and managed from a top risk management practitioner Offers up-to-date examples of managing market and creditrisk Provides an overview and comparison of the various derivativeinstruments and their use in risk hedging Companion Website contains supplementary materials that allowyou to continue to learn in a hands-on fashion long after closingthe book Focusing on the management of those risks that can besuccessfully quantified, the Second Edition of FinancialRisk Management + Websiteis the definitive source for managingmarket and credit risk.

Author : PAUL. NEWSON
Publisher : Unknown
Page : 255 pages
File Size : 40,5 Mb
Release : 2017
Category : Banks and banking
ISBN : 1782723250

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Interest Rate Risk in the Banking Book by PAUL. NEWSON Pdf

Author : Anthony G. Cornyn
Publisher : Global Professional Publishi
Page : 458 pages
File Size : 49,9 Mb
Release : 1997
Category : Business & Economics
ISBN : 1888998040

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Interest Rate Risk Models by Anthony G. Cornyn Pdf

� Practical guide for asset-liability managers faced with the decision as to whether to build or buy a financial model � Topics include modeling cash flows, net investment income versus net portfolio value, projections of interest rates, and volatility A guide for asset-liability managers and other investment professionals who are faced with the decision of whether to build or buy a financial model to measure, monitor, and help manage their institution's risk exposure. It reviews the evolution of interest rate risk models and evaluates the state-of-the-art models in use. Includes Modeling cash flows; modeling the term structure; OAS technology; net interest income versus net portfolio value; build versus buy analysis; practical methods for deriving input assumptions; prepayment rates; deposit decay rates; projections of interest rate and volatility.