Integrating Interest Rate and Currency Risk Management
نویسنده
چکیده
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 parameters, an internally consistent scenario set is generated. These scenarios both define the state-space of our pricing and hedging method, and are readily interpretable in a managerial context. This approach provides an integration of financial derivatives-based strategies and business scenario analyses. On Integrating Interest Rate and Currency Risk Management
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