Managing Interest Rate Risk

Author : Beata Lubinska
Publisher : John Wiley & Sons
Page : 263 pages
File Size : 41,5 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 : Gerald O. Bierwag
Publisher : Unknown
Page : 368 pages
File Size : 48,6 Mb
Release : 1987
Category : Bonds
ISBN : UCSC:32106008460856

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Duration Analysis by Gerald O. Bierwag Pdf

Author : Brian Coyle
Publisher : Global Professional Publishi
Page : 156 pages
File Size : 49,8 Mb
Release : 2001
Category : Business & Economics
ISBN : 0852974396

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Introduction to Interest-rate Risk by Brian Coyle Pdf

� Worked examples illustrating key points � Explanation of complex or obscure terms � Full glossary of terms The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management. Topics include interest-rate exposures, fixed or floating-rate interest, term of funding and the yield curve, forward rates and the yield curve and basis risk, gap exposure, and price risk.

Author : John J. Stephens
Publisher : John Wiley & Sons
Page : 208 pages
File Size : 40,5 Mb
Release : 2002-03-12
Category : Business & Economics
ISBN : CORNELL:31924089569242

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Managing Interest Rate Risk by John J. Stephens Pdf

This book tackles the subject of interest rate risk, a matter of key importance to all businesses, whether borrowing, investing, saving or trading.

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 53,7 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Donna M. Howe
Publisher : Prentice Hall
Page : 368 pages
File Size : 49,9 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 : Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva
Publisher : John Wiley & Sons
Page : 429 pages
File Size : 46,7 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 : Anthony G. Cornyn
Publisher : Prentice Hall
Page : 0 pages
File Size : 46,6 Mb
Release : 1997
Category : Interest rate risk
ISBN : 0135704669

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Controlling & Managing Interest-rate Risk by Anthony G. Cornyn Pdf

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 296 pages
File Size : 49,7 Mb
Release : 1998-02-15
Category : Business & Economics
ISBN : 1883249295

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Perspectives on Interest Rate Risk Management for Money Managers and Traders by Frank J. Fabozzi Pdf

Interest rate volatility can wreak havoc with the balance sheets of institutional investors, traders, and corporations. In this important book, leading experts in the field discuss methods for measuring and hedging interest rate risk. The book covers basic techniques, as well as state-of-the-art applications. Specific topics include portfolio risk management, value-at-risk, yield curve risk, interest rate models, advanced risk measurements, interest rate swaps, and measuring and forecasting interest rate volatility.

Author : Anonim
Publisher : Unknown
Page : 414 pages
File Size : 51,5 Mb
Release : 1986
Category : Electronic
ISBN : OCLC:848413393

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Controlling Interest Rate Risk by Anonim Pdf

Author : Steven M. Bragg
Publisher : John Wiley & Sons
Page : 309 pages
File Size : 43,5 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 : Anthony G. Cornyn
Publisher : Global Professional Publishi
Page : 458 pages
File Size : 43,6 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.

Author : Lin Chen
Publisher : Springer Science & Business Media
Page : 158 pages
File Size : 44,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642468254

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Interest Rate Dynamics, Derivatives Pricing, and Risk Management by Lin Chen Pdf

There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data.

Author : Jack Clark Francis,Avner S. Wolf
Publisher : Irwin Professional Publishing
Page : 832 pages
File Size : 52,7 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 : Donald R. Van Deventer,Kenji Imai,Mark Mesler
Publisher : John Wiley & Sons
Page : 834 pages
File Size : 43,9 Mb
Release : 2013-02-06
Category : Business & Economics
ISBN : 9781118278550

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Advanced Financial Risk Management by Donald R. Van Deventer,Kenji Imai,Mark Mesler Pdf

Practical tools and advice for managing financial risk, updated for a post-crisis world Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the book covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models. Revised and updated with lessons from the 2007-2010 financial crisis, Advanced Financial Risk Management outlines a framework for fully integrated risk management. Credit risk, market risk, asset and liability management, and performance measurement have historically been thought of as separate disciplines, but recent developments in financial theory and computer science now allow these views of risk to be analyzed on a more integrated basis. The book presents a performance measurement approach that goes far beyond traditional capital allocation techniques to measure risk-adjusted shareholder value creation, and supplements this strategic view of integrated risk with step-by-step tools and techniques for constructing a risk management system that achieves these objectives. Practical tools for managing risk in the financial world Updated to include the most recent events that have influenced risk management Topics covered include the basics of present value, forward rates, and interest rate compounding; American vs. European fixed income options; default probability models; prepayment models; mortality models; and alternatives to the Vasicek model Comprehensive and in-depth, Advanced Financial Risk Management is an essential resource for anyone working in the financial field.