Interest Rate Risk and Rising Maturities

A permutation information theory tour through different interest rate maturities: the Libor case.

This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japanese yen, during the period 2001-2015. The analysis is performed by means of two quantifiers derived from information theory: the permutation Shannon entropy and the permutation Fisher information measure. An anomalous behaviour in the Libor is detect...

Interest Rate Risk

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...

Stock interest rate risk and inflation shocks

In this paper we proceed to estimate a measure of the flow-through capability of the firms listed in the Spanish Stock Exchange. The flow-through capability is defined as the ability of firms to transmit inflation shocks to the prices of the products and services sold by the company. According to a strand of literature, this flow-through capability can explain, to some extent, the so called “st...