Interest Rate Risk Models

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Interest Rate Risk Models

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Author : Anthony G. Cornyn
language : en
Publisher: Global Professional Publishi
Release Date : 1997

Interest Rate Risk Models written by Anthony G. Cornyn and has been published by Global Professional Publishi this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.

� 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.

Interest Rate Risk Modeling

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Author : Sanjay K. Nawalkha
language : en
Publisher: John Wiley & Sons
Release Date : 2005-05-31

Interest Rate Risk Modeling written by Sanjay K. Nawalkha and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-31 with Business & Economics categories.

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.

The Validation Of Risk Models

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Author : S. Scandizzo
language : en
Publisher: Springer
Release Date : 2016-07-01

The Validation Of Risk Models written by S. Scandizzo and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-01 with Business & Economics categories.

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.

The Handbook Of Fixed Income Securities Chapter 42 Hedging Interest Rate Risk With Term Structure Factor Models

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Author : Frank Fabozzi
language : en
Publisher: McGraw Hill Professional
Release Date : 2005-04-15

The Handbook Of Fixed Income Securities Chapter 42 Hedging Interest Rate Risk With Term Structure Factor Models written by Frank Fabozzi and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-04-15 with Business & Economics categories.

From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.

Interest Rate Modeling For Risk Management Market Price Of Interest Rate Risk

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Author : Takashi Yasuoka
language : en
Publisher: Bentham Science Publishers
Release Date : 2015-10-13

Interest Rate Modeling For Risk Management Market Price Of Interest Rate Risk written by Takashi Yasuoka and has been published by Bentham Science Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-13 with Business & Economics categories.

Interest Rate Modeling for Risk Management introduces a theoretical framework - the ‘real-world’ model - that allows us to estimate the market price of interest rate risk based on practical and real life situations. The model can be briefly summarized as a process of estimating the market prices of risk through discretization of forward rates with a ‘space-state setup’ whilst considering historical data trends. The book starts with a brief explanation of interest rate stochastic analysis fundamentals before delving into standard models such as Heath-Jarrow-Morton, Hull-White and LIBOR models. The real-world model is then explained in subsequent chapters while applying different frameworks. Additionally, the book also explains some properties of the real-world model, along with the negative price tendency of the market price for risk and a positive market price for risk (with an example of this actually occurring). Readers will also find a handy appendix with proofs to complement the numerical methods explained in the book. This book is intended as a primer for practitioners in financial institutions involved in interest rate risk management. It also presents a new perspective for researchers and graduates in econometrics and finance on the study of interest rate models.

Introduction To Fixed Income Analysis And Portfolio Management

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Author : Frank J. Fabozzi
language : en
Publisher: MIT Press
Release Date : 2025-01-21

Introduction To Fixed Income Analysis And Portfolio Management written by Frank J. Fabozzi and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-01-21 with Business & Economics categories.

A concise but comprehensive introduction to fixed income analysis for undergraduate and graduate students. Offering more concise and less technical coverage of the material featured in the classic text Bond Markets, Analysis, and Strategies, this streamlined book is rightsized for a one-semester fixed-income course. In accessible terms, Frank Fabozzi describes the sectors of the fixed-income market, details how to value fixed-income instruments, and shows how to measure interest rate risk and how to manage a fixed income portfolio. Key concepts are illustrated with extensive examples and exercises, and end-of-chapter questions invite further research. The result is an incisive but approachable introduction to fixed-income analysis for undergraduate finance and business students. Comprehensive coverage of fixed-income markets Easy-to-understand framing of mathematical concepts accommodates a wide readership with varying levels of mathematical expertise Extensive illustrations and examples animate analytical chapters Written by an expert with deep experience in the asset management industry and the classroom Pragmatic modular structuring of content enables adaptability to different curricula Instructor resources available

Federal Register

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Author :
language : en
Publisher:
Release Date : 1999

Federal Register written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Administrative law categories.

Advanced Interest Rate Risk Models

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Author : Adam
language : en
Publisher:
Release Date :

Advanced Interest Rate Risk Models written by Adam and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.

The Handbook Of Currency And Interest Rate Risk Management

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Author : Robert J. Schwartz
language : en
Publisher: Prentice Hall
Release Date : 1990

The Handbook Of Currency And Interest Rate Risk Management written by Robert J. Schwartz and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Business & Economics categories.

A Guide To Federal Regulation Of Derivatives

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Author : James Hamilton
language : en
Publisher: Commerce Clearing House
Release Date : 1998

A Guide To Federal Regulation Of Derivatives written by James Hamilton and has been published by Commerce Clearing House this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.