Duration Analysis as Complementary Method of Interest Rate Risk Management

Supervising Interest Rate Risk Management

made significant efforts to establish and improve their procedures for interest rate risk management, including using economic models of interest rates and related models of credit risk (Lopez 2001a, b).At the same time, bank supervisors worldwide, including the Federal Reserve, have been expanding their knowledge and oversight of interest rate risk management techniques. For example, U.S. bank...

Integrating Interest Rate and Currency Risk Management

Building on recent arbitrage-based pricing innovations in finance, we demonstrate an integrated interest rate and currency risk evaluation and management approach. This approach is based on the six fundamental parameters of global money market risk, exchange rate standard deviation, interest rate standard deviations and the correlations across interest rates and currencies. Based on these param...

Interest Rate Risk Management: Developments in Interest Rate Term Structure Modeling for Risk Management and Valuation of Interest-rate-dependent Cash Flows

This paper surveys the main concepts and techniques of recent developments in the modeling of the term structure of interest rates that are used in the risk management and valuation of interest-rate-dependent cash flows. These developments extend the concepts of immunization and matching to a stochastic interest rate environment. Such cash flows include the cash flows on assets such as bonds an...

Interest Rate Models Key Developments in the Mathematical Theory of Interest Rate Risk Management Presented By

Study of Interest Rate Risk Measurement Based on VAR Method

Interest rate guides financial resources to effectively flow and allocate, which prompt economic structure adjusting and economic development. Risk-measurement of interest rate is the basis of the risk management. Thus, accurately measuring interest rate risk is extremely significant. Based on the inter-bank bond repurchase rate as the target, this paper uses value at risk (VAR) to quantify int...