Interest Rate Risk
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Author | : |
Publisher | : Lulu.com |
Total Pages | : 294 |
Release | : 2004 |
Genre | : Bank capital |
ISBN | : 9291316695 |
Download International Convergence of Capital Measurement and Capital Standards Book in PDF, Epub and Kindle
Author | : Beata Lubinska |
Publisher | : John Wiley & Sons |
Total Pages | : 263 |
Release | : 2021-11-01 |
Genre | : Business & Economics |
ISBN | : 1119755018 |
Download Interest Rate Risk in the Banking Book Book in PDF, Epub and Kindle
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 | : Sanjay K. Nawalkha |
Publisher | : John Wiley & Sons |
Total Pages | : 429 |
Release | : 2005-05-31 |
Genre | : Business & Economics |
ISBN | : 0471737445 |
Download Interest Rate Risk Modeling Book in PDF, Epub and Kindle
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 | : PAUL. NEWSON |
Publisher | : |
Total Pages | : 255 |
Release | : 2017 |
Genre | : Banks and banking |
ISBN | : 9781782723257 |
Download Interest Rate Risk in the Banking Book Book in PDF, Epub and Kindle
Author | : Anthony G. Cornyn |
Publisher | : Global Professional Publishi |
Total Pages | : 458 |
Release | : 1997 |
Genre | : Business & Economics |
ISBN | : 9781888998047 |
Download Interest Rate Risk Models Book in PDF, Epub and Kindle
� 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 | : Divya Kirti |
Publisher | : International Monetary Fund |
Total Pages | : 56 |
Release | : 2017-01-19 |
Genre | : Business & Economics |
ISBN | : 1475569742 |
Download Why Do Bank-Dependent Firms Bear Interest-Rate Risk? Book in PDF, Epub and Kindle
I document that floating-rate loans from banks (particularly important for bank-dependent firms) drive most variation in firms' exposure to interest rates. I argue that banks lend to firms at floating rates because they themselves have floating-rate liabilities, supporting this with three key findings. Banks with more floating-rate liabilities, first, make more floating-rate loans, second, hold more floating-rate securities, and third, quote lower prices for floating-rate loans. My results establish an important link between intermediaries' funding structure and the types of contracts used by non-financial firms. They also highlight a role for banks in the balance-sheet channel of monetary policy.
Author | : Jack Clark Francis |
Publisher | : Irwin Professional Publishing |
Total Pages | : 832 |
Release | : 1994 |
Genre | : Business & Economics |
ISBN | : 9781556233821 |
Download The Handbook of Interest Rate Risk Management Book in PDF, Epub and Kindle
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 | : John J. Stephens |
Publisher | : John Wiley & Sons |
Total Pages | : 208 |
Release | : 2002-03-12 |
Genre | : Business & Economics |
ISBN | : |
Download Managing Interest Rate Risk Book in PDF, Epub and Kindle
This book tackles the subject of interest rate risk, a matter of key importance to all businesses, whether borrowing, investing, saving or trading.
Author | : S. Scandizzo |
Publisher | : Springer |
Total Pages | : 242 |
Release | : 2016-07-01 |
Genre | : Business & Economics |
ISBN | : 1137436964 |
Download The Validation of Risk Models Book in PDF, Epub and Kindle
This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.
Author | : Frank J. Fabozzi |
Publisher | : |
Total Pages | : 336 |
Release | : 1996-08-15 |
Genre | : Business & Economics |
ISBN | : |
Download Measuring and Controlling Interest Rate Risk Book in PDF, Epub and Kindle
Fabozzi provides an explanation of concepts such as duration and convexivity, as well as more advanced topics such as probability distributions and regression analysis. He also gives keys to using derivatives to control interest rate risk