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Management of interest rate risk [PDF]
Ekonomski Signali, 2014 Interest rate risk is one of the biggest and most dangerous risks that a bank is exposed to. When a change of interest rates occurs, the incomes of a bank based on credits and securities endure significant changes.
Šabović Šerif
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Risk-free interest rates [PDF]
Journal of Financial Economics, 2018 We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain interest rates and implied convenience yields with maturities up to three years at a minutely frequency.
van Binsbergen, Jules H. +2 more
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Are Interest Rate Options Important for the Assessment of Interest Rate Risk? [PDF]
SSRN Electronic Journal, 2008 Abstract Fixed income options contain substantial information on the price of interest rate volatility risk. In this paper, we ask if those options will also provide information related to other moments of the objective distribution of interest rates. Based on dynamic term structure models within the class of affine models, we find that interest rate
Almeida, Caio Ibsen Rodrigues de +1 more
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The effect of hedging exchange rate risk, interest rate risk and commodity price risk with derivative instruments on firm value [PDF]
Management Science Letters, 2021 The purpose of this paper is to analyze the effects of firm value on hedging for exchange rates, interest rates and commodity price risks using derivative instruments as well as examining different types of derivative instruments, including forward ...
Almas, Nadhifah +3 more
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Banking risk 55: IRRBB: Interest rate risk in the banking book [PDF]
Bankarstvo, 2017 The Basel Committee on Banking Supervision published the standard on interest rate risk in the banking book (IRRBB) in 2016, which includes the detailed standardized framework for measuring the IRRBB. The framework enables banks to calculate the economic
Matić Vesna
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Pricing of Credit Risk Derivatives with Stochastic Interest Rate
Axioms, 2023 This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default ...
Wujun Lv, Linlin Tian
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On the Diversification of Fixed Income Assets
Risks, 2022 This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional ...
Olivier Le Courtois
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The risks of low interest rates [PDF]
Ensayos sobre Política Económica, 2011 This paper has been prepared for Seminario de la revista Ensayos sobre Politica Economica, 29 October 2010, at the Bank of the Republic, Bogota, Colombia. I would like to thank Yener Altunbas, Claudio Borio, Petra Gerlach-Kristen, Simonetta Iannotti and David Marques-Ibanez for useful comments and discussions.
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Zabezpieczenie ryzyka stopy procentowej w kredytowaniu działalności przedsiębiorstw
Studia i Materiały, 2018 The improving economic situation, loosened credit policy of banks and a low level of interest rates foster the increase in enterprises’ credit obligations.
Monika Klimontowicz, Anna Pyka
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Interest rate risk in bond investment: Unconventional measurement methods [PDF]
Bankarstvo, 2015 Interest rate risk of a bond is typically measured by means of duration and convexity. However, these measurements are based on the assumption of a flat yield curve and its parallel shifts.
Trpčevski Mladen
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