Results 11 to 20 of about 15,960,271 (260)
Variance and Interest Rate Risk in Unit-Linked Insurance Policies
Risks, 2020 One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form.
David Baños +2 more
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Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk
Risks, 2014 We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process.
Tina Engler, Ralf Korn
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Analyzing Various Channels of Monetary Policy Transmission Mechanism: The Case of Pakistan
Market Forces, 2022 This paper measures the impact of the interest rate, credit, and risk channel on the monetary policy of Pakistan, based on a data set from 1995 to 2020. It also examines the long-run and the short-run relationship between foreign debt, bank capital, and ...
Saghir Pervaiz Ghauri , Syed Imran Zaman
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Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach [PDF]
, 2010 In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007.
Spagnolo, N, Caporale, GM, Beirne, J
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Interest Rate Risk Management using Duration Gap Methodology [PDF]
Theoretical and Applied Economics, 2008 The world for financial institutions has changed during the last 20 years, and become riskier and more competitive-driven. After the deregulation of the financial market, banks had to take on extensive risk in order to earn sufficient returns.
Dan Armeanu +2 more
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Remarks on Interest Rate Risk Management [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2016 Bank interest and interest rate risk management is a contemporary subject and for socio-economic environment of Romania cause serious consequences in the level of economic development.
Elena-Violeta DRAGOI +1 more
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Interest Swaps in Croatian Banking Possibilities of Application [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2004 The author analyzes interest rate trends in the Republic of Croatia within the period 1992-2003. What are the means of protecting against interest risks have also been subject to analysis, although in practice it very often comes down to setting variable
Antun Jurman
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Modelling Counterparty Credit Risk in Czech Interest Rate Swaps
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults.
Lenka Křivánková, Silvie Zlatošová
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Aspects of the impact of interest rate development on the probability of default
Audit Financiar, 2016 The acceptance of banking risks and their control is one of the key moments in banking activity. Success in banking management is possible only if the risks accepted by banks are reasonable, can be controlled and do not exceed the financial resources and
Luminita Gabriela ISTRATE +2 more
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Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk
Abstract and Applied Analysis, 2014 We study the pricing of total return swap (TRS) under the contagion models with counterparty risk and the interest rate risk. We assume that interest rate follows Heath-Jarrow-Morton (HJM) forward interest rate model and obtain the Libor market interest ...
Anjiao Wang, Zhongxing Ye
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