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Author : Victor Macrae
Publisher : Unknown
Page : 216 pages
File Size : 49,6 Mb
Release : 2015
Category : Corporations
ISBN : 1292017570
Author : Victor Macrae
Publisher : Pearson UK
Page : 233 pages
File Size : 52,6 Mb
Release : 2015-04-28
Category : Business & Economics
ISBN : 9781292017587
Author : Beata Lubinska
Publisher : John Wiley & Sons
Page : 263 pages
File Size : 44,7 Mb
Release : 2021-11-01
Category : Business & Economics
ISBN : 9781119755012
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 : Brian Coyle
Publisher : Global Professional Publishi
Page : 156 pages
File Size : 48,8 Mb
Release : 2001
Category : Business & Economics
ISBN : 0852974396
� 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 : Jack Clark Francis,Avner S. Wolf
Publisher : Irwin Professional Publishing
Page : 832 pages
File Size : 53,9 Mb
Release : 1994
Category : Business & Economics
ISBN : 1556233825
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 : Gerald O. Bierwag
Publisher : Unknown
Page : 368 pages
File Size : 54,5 Mb
Release : 1987
Category : Bonds
ISBN : UCSC:32106008460856
Author : Donna M. Howe
Publisher : Prentice Hall
Page : 368 pages
File Size : 46,8 Mb
Release : 1992
Category : Business & Economics
ISBN : UOM:49015001397398
Author : Christine Helliar
Publisher : Elsevier
Page : 112 pages
File Size : 43,9 Mb
Release : 2005-05-04
Category : Business & Economics
ISBN : 0080457703
Financial risk management is currently subject to much debate, especially the accounting for derivative products, and a number of commentators are objecting to the introduction of International Accounting Standard IAS 39 for Derivatives that will be in force by January 2005 for all EU companies. The topic of hedge accounting and the treatment of fair values may have a significant impact on many companies reported profits, and the volatility of earnings is likely to increase. Uniquely this monograph focuses on interest rate risk management. Most studies of corporate risk management have typically dwelt on the topic of management of exchange rate risk, with interest rate risk management being neglected. The book’s findings examine the views of UK corporate treasurers who are usually involved in the risk management strategies of their organisation and who have responsibility for implementing those strategies in practice. * The research is the first comprehensive UK study on this area * Relevant to the imminent arrival of IAS 39, the International Accounting Standard for Derivatives that will be in force by January 2005 for all EU companies. * The findings of the book have implications for government policy and regulators
Author : Anthony G. Cornyn
Publisher : Global Professional Publishi
Page : 458 pages
File Size : 42,5 Mb
Release : 1997
Category : Business & Economics
ISBN : 1888998040
� 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 : Benton E. Gup,Robert Brooks
Publisher : Irwin Professional Publishing
Page : 276 pages
File Size : 41,8 Mb
Release : 1993-01
Category : Business & Economics
ISBN : 1557383707
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 : Anthony G. Cornyn
Publisher : Prentice Hall
Page : 0 pages
File Size : 53,9 Mb
Release : 1997
Category : Interest rate risk
ISBN : 0135704669
Author : Jared Levy
Publisher : John Wiley & Sons
Page : 418 pages
File Size : 52,7 Mb
Release : 2013-02-18
Category : Business & Economics
ISBN : 9781118196663
The practical, visual guide to the complex world of options investing loaded with tactics and tips for market success Options provide a diverse, strategic, advantaged approach to trading that can significantly limit the overall risks of a trade or yield additional returns. For many people, investing in options seem so risky that they fail to capitalize on this potentially lucrative opportunity that can unlock doors you would never imagine. The Bloomberg Visual Guide to Options uses full-color charts and other illustrations to help readers understand the mechanics and actionable details of the marketplace and how to profit from options trading. An accessible reference volume for investment professionals of all levels of experience, the book takes a direct and to the point approach to the topic, enhanced by colorful and visually effective graphs and charts of the options market. Discussing the functions of the exchanges, how they work, and the strategies for taking advantage of the market while steering clear of risk, this is the ultimate visual guide to understanding the world of trading options. Immerses readers in the exciting world of options trading through the use of full-color graphs and charts Provides tips, tricks, and real scenarios for successful trading, whether trading in a bull, bear, or neutral market Presents detailed, unique strategies for understanding and succeeding in the real options market Includes special learning aids, such as Key Point Summaries, Do-It-Yourself Exercises, Step-By-Step Instructions, and much more Putting even the most complex options trading issues at your fingertips in an easy-to-understand, readily accessible format, Bloomberg Visual Guide to Options is a must-have trading reference for professional investors.
Author : Jared Levy
Publisher : John Wiley & Sons
Page : 432 pages
File Size : 49,7 Mb
Release : 2011-04-05
Category : Business & Economics
ISBN : 9780470603628
A comprehensive yet simplified guide to the complex world of options investing and risk management Before trading derivatives, one needs to understand the secrets and mechanics behind the options market. Your Options Handbook: The Practical Reference and Strategy Guide to Trading Options offers a straightforward, practical explanation of the options marketplace, including its origins, the mechanics of the market, and how to profit from trading options. Walks you through the stock and option markets from a professional's perspective, but uses plain language and simple analogies Discusses different trading strategies based upon whether one's opinion of the market is bullish, bearish, or neutral Details market players, useful tips, and trading psychology, and explains how options are priced Options are a versatile trading instrument that typically cost less and can have lower risk than stocks. They also offer investors a unique edge and lucrative opportunities that are not available to stock only traders. Your Options Handbook helps investors fully understand the options market, allowing them to enter the sector with greater ease.
Author : Mr.Ralph Chami,Mr.Thomas F. Cosimano,Ms.Celine Rochon,Julieta Yung
Publisher : International Monetary Fund
Page : 26 pages
File Size : 48,6 Mb
Release : 2020-03-13
Category : Business & Economics
ISBN : 9781513531861
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Author : Anonim
Publisher : Unknown
Page : 488 pages
File Size : 40,7 Mb
Release : 1995
Category : Electronic
ISBN : OCLC:932325189