Pricing And Hedging Interest And Credit Risk Sensitive Instruments

Author : Frank Skinner
Publisher : Elsevier
Page : 288 pages
File Size : 54,6 Mb
Release : 2004-10-29
Category : Business & Economics
ISBN : 9780080473956

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Pricing and Hedging Interest and Credit Risk Sensitive Instruments by Frank Skinner Pdf

This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD. * Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models * Can be used for self-study - a complete book on the topic, which includes examples with answers

Author : Frank J. Fabozzi,Steven V. Mann,Moorad Choudhry
Publisher : John Wiley & Sons
Page : 545 pages
File Size : 54,8 Mb
Release : 2003-09-10
Category : Business & Economics
ISBN : 9780471485919

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Measuring and Controlling Interest Rate and Credit Risk by Frank J. Fabozzi,Steven V. Mann,Moorad Choudhry Pdf

Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange-traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position. Measuring and Controlling Interest Rate and Credit Risk is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart, defining and illustrating interest rate risk and credit risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments discussed include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds; and find in-depth, up-to-date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging. Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University?s School of Management. Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance services in London. Moorad Choudhry (Surrey, England) is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management. He has authored a number of books on fixed income analysis and the capital markets. Moorad began his City career with ABN Amro Hoare Govett Sterling Bonds Limited, where he worked as a gilt-edged market maker, and Hambros Bank Limited where he was a sterling proprietary trader. He is currently a vice-president in Structured Finance Services with JPMorgan Chase Bank in London.

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 : Dimitris Chorafas
Publisher : McGraw Hill Professional
Page : 29 pages
File Size : 53,5 Mb
Release : 2008-03-13
Category : Business & Economics
ISBN : 9780071731270

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Introduction to Derivative Financial Instruments, Chapter 11 - Credit Risk and Market Risk with Options by Dimitris Chorafas Pdf

This chapter comes from Derivative Financial Instruments, written by a renowned corporate financial advisor. This timely guide offers a comprehensive treatment of derivative financial instruments, fully covering bonds, interest swaps, options, futures, Forex, and more. The author explains the strategic use of derivatives, their place in portfolio management, hedging, and the importance of managing risk.

Author : Patrick Cusatis,Martin Thomas
Publisher : McGraw Hill Professional
Page : 396 pages
File Size : 42,9 Mb
Release : 2005-02-22
Category : Business & Economics
ISBN : 0071454535

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Hedging Instruments and Risk Management by Patrick Cusatis,Martin Thomas Pdf

Books on complex hedging instruments are often more confusing than the instruments themselves. Hedging Instruments & Risk Management brings clarity to the topic, giving money managers the straightforward knowledge they need to employ hedging tools and techniques in four key markets—equity, currency, fixed income, and mortgage. Using real-world data and examples, this high-level book shows practitioners how to develop a common set of mathematical and statistical tools for hedging in various markets and then outlines several hedging strategies with the historical performance of each.

Author : Brian Coyle
Publisher : Global Professional Publishi
Page : 172 pages
File Size : 53,5 Mb
Release : 2001
Category : Business & Economics
ISBN : 0852974450

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Hedging Interest-rate Exposures 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 risk, identifying interest-rate exposures, hedging policy, forward rate agreements, structural hedging, and hedging with derivative instruments and interest-rate futures, options and swaps

Author : Giovanni Cesari,John Aquilina,Niels Charpillon,Zlatko Filipovic,Gordon Lee,Ion Manda
Publisher : Springer Science & Business Media
Page : 257 pages
File Size : 51,5 Mb
Release : 2009-12-06
Category : Business & Economics
ISBN : 9783642044540

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Modelling, Pricing, and Hedging Counterparty Credit Exposure by Giovanni Cesari,John Aquilina,Niels Charpillon,Zlatko Filipovic,Gordon Lee,Ion Manda Pdf

It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.

Author : Elyès Jouini,Jakša Cvitanić,Marek Musiela
Publisher : Cambridge University Press
Page : 324 pages
File Size : 47,9 Mb
Release : 2001
Category : Derivative securities
ISBN : 0521792371

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Option Pricing, Interest Rates and Risk Management by Elyès Jouini,Jakša Cvitanić,Marek Musiela Pdf

This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material.

Author : John J. Stephens
Publisher : John Wiley & Sons
Page : 208 pages
File Size : 49,6 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 : Lionel Martellini,Philippe Priaulet
Publisher : Wiley
Page : 0 pages
File Size : 47,9 Mb
Release : 2001-02-08
Category : Business & Economics
ISBN : 0471495026

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Fixed-Income Securities by Lionel Martellini,Philippe Priaulet Pdf

Dynamic methods for interest rate risk pricing and hedging. Fixed-Income Securities provides a survey of modern methods forpricing and hedging fixed-income securities in the presence ofinterest rate risk. Modern theory of finance provides a wealth ofnew approaches to the important question of interest rate riskmanagement, and this book brings them together, in a comprehensiveand thorough treatment of the subject. Structured in an accessible manner, the authors begin by focusingon pricing and hedging certain cash flows, before moving on toconsider pricing and hedging uncertain cash flows. In addition tothe theoretical explanation, the authors provide numerousreal-world examples and applications throughout. This is the first book I have seen to carefully cover such a wideset of topics in both theoretical and applied fixed-incomemodelling, ranging from the use of market information to obtainyield curves, to the pricing and hedging of bonds and fixed-incomederivatives, to the currently active topic of defaultableyield-curve modelling. It will be particularly useful topractitioners.Darrell Duffie, Stanford University This is the most comprehensive theoretical treatment of thesubject I ve ever seen. Mark Rubinstein, Haas School of Business,University of California An excellent review of interest rate models and of the pricing andhedging principles in the fixed-income area.Oldrich Alfons Vasicek,KMV Corporation

Author : Beata Lubinska
Publisher : John Wiley & Sons
Page : 263 pages
File Size : 47,8 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 : Allen N. Berger,Philip Molyneux,John O. S. Wilson
Publisher : Oxford University Press, USA
Page : 1309 pages
File Size : 46,9 Mb
Release : 2019-10
Category : Business & Economics
ISBN : 9780198824633

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The Oxford Handbook of Banking by Allen N. Berger,Philip Molyneux,John O. S. Wilson Pdf

The Oxford Handbook of Banking provides an overview and analysis of state-of-the-art research in banking written by leading researchers in the field. This Handbook will appeal to graduate students of economics, banking and finance, academics, practitioners and policy makers. Consequently, the book strikes a balance between abstract theory, empirical analysis, and practitioner and policy-related material. The handbook is split into five parts. Part I, The Theory of Banking, examines the role of banks in the wider financial system, why banks exist, how they function, and their legal and governance structures. Part II entitled Regulatory and Policy Perspectives discusses monetary policy, prudential regulation and supervision, and antitrust policy. Part III of the book deals with bank performance. A number of issues are assessed including efficiency, financial innovation and technological change, globalization and ability to deliver small business, consumer, and mortgage lending services. Part IV of the book provides an overview of macroeconomic perspectives in banking. This part of the book includes a discussion of the determinants of bank failures and crises, and the impact on financial stability, institutional development, and economic growth. Part V examines International Differences In Banking Structures And Environments. This part of the handbook examines banking systems in the United States, Western Europe, Transition countries, Latin America, Japan and the Developing nations of Asia.

Author : Tomasz Bielecki,Damiano Brigo,Frederic Patras
Publisher : John Wiley & Sons
Page : 770 pages
File Size : 45,8 Mb
Release : 2011-02-08
Category : Business & Economics
ISBN : 9781576603581

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Credit Risk Frontiers by Tomasz Bielecki,Damiano Brigo,Frederic Patras Pdf

A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances in the theory and practice of credit derivatives Takes into account the new products and risk requirements of a post financial crisis world Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.

Author : Anonim
Publisher : CCH Hong Kong Limited
Page : 336 pages
File Size : 44,9 Mb
Release : 2008
Category : Accounting
ISBN : 9881722322

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Financial Reporting in Hong Kong - Illustrative Financial Statements & Disclosure Checklists 2007 by Anonim Pdf

Author : Anonim
Publisher : CCH Hong Kong Limited
Page : 2370 pages
File Size : 42,9 Mb
Release : 2008
Category : Accounting
ISBN : 988170149X

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Financial Reporting in Hong Kong by Anonim Pdf