Factor-Based Tactical Bond Allocation and 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 Rates Term Structure Forecasting and Bond Portfolio Risk Management

The dynamic Nelson-Siegel-style models, which are popular in the literature of interest rates term structure forecasting, may be unstable because of the potential existence of unit roots in the parameter series. In this paper, the dynamic Nelson-Siegel-style models are modified by modelling the first-order differenced instead of original parameter series. Empirical study shows that the modified...

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