Interest rate risk management 9781558273092

971 179 19MB

English Pages 996 Year 2010

Interest rate risk management
9781558273092

Author / Uploaded
Leonard M. Matz

Categories
Business
Management

Table of contents :
Contents ......Page 17
Chapter 1: An Interest Rate Risk Management Overview ......Page 51
Chapter 2: Defining and Quantifying Interest Rate Risk ......Page 81
Chapter 3: Income Simulation ......Page 119
Chapter 4: Duration and Convexity ......Page 163
Chapter 5: Economic Value Simulation ......Page 215
Chapter 6: Measuring the Rate Risk of Indeterminate Maturity, Administered Rate, and Putable Deposits ......Page 285
Chapter 7: Measuring the Rate Risk of Loans and Investments ......Page 345
Chapter 8: Rate Changes: Deterministic Scenarios and Stochastic Models ......Page 375
Chapter 9: Selecting and Installing AL Models ......Page 427
Chapter 10: Using Models and Managing Model Risk ......Page 503
Chapter 11: Interest Rate Risk Measurement Summary ......Page 541
Chapter 12: ALM Policies, Management Structures, and Risk Limits ......Page 577
Chapter 13: ALM Decision Making, Implementation, and Oversight ......Page 691
Chapter 14: Managing Interest Rate Risk Without Using Off-Balance Sheet Derivatives ......Page 753
Chapter 15: Hedging with Off-Balance Sheet Derivative Instruments ......Page 787
Chapter 16: Perspectives ......Page 895
Glossary ......Page 923

Polecaj historie

Interest Rate Risk Management 978-1-55827-309-2

1,446 185 38MB Read more

Interest Rate Modelling: Financial Engineering [1 ed.] 0471975230, 9780471975236

As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with

174 83 17MB Read more

Handbook of debt securities and interest rate derivatives 9780070656611, 0070656614

1,041 90 11MB Read more

Financial Risk Management: Management of Interest Risk from a Corporate Treasury Perspective in a Service Enterprise : Management of Interest Risk from a Corporate Treasury Perspective in a Service Enterprise [1 ed.] 9783836646185, 9783836696180

After risk management and interest risk management in particular was primarily relevant for banks in the past, it is a c

176 107 1MB Read more

Mastering interest rate risk strategy: a practical guide to managing corporate financial risk 9781292017563, 9781292017587, 9781292017594, 9781292017570, 1292017597, 1292017562, 1292017570, 1292017589

Financial institutions, private and public companies and governments can lose vast amounts of money from even minor chan

117 112 2MB Read more

Exchange Rate Risk Under Generalized Floating: Eight Asian Countries 9789814377669

This paper examines whether exchange rate risk (defined as the variety of nominal and price-adjusted import-weighed exch

166 107 1MB Read more

Risk Management 9783110440539, 9783110440522

This book is the English edition of the German third edition, which has proven to be a standard work on the subject of r

343 92 11MB Read more

Corporate Risk Management 9780231513005

More than thirty leading scholars and finance practitioners discuss the theory and practice of using enterprise-risk man

293 106 3MB Read more

Risk Management 9783110440539, 9783110440522

This book is the English edition of the German third edition, which has proven to be a standard work on the subject of r

552 143 2MB Read more

Enterprise Risk Management Models

2,106 361 3MB Read more