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Interest Rate Risk and Systematic Risk: An Interpretation
The Journal of Finance, 1978UNCERTAINTY, REGARDING future interest rates is generally presumed to be an inherent source of risk in default free bonds. In addition, a number of writers consider the beta coefficient of the market model as the relevant measure of risk for a default free security.
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The Journal of Financial and Quantitative Analysis, 1978
Much of the literature on the adequacy of bank capital is concerned with the role of such factors as default risk and faulty management. These factors are important but they neglect the role that purely stochastic elements can play in affecting the capital of a well-managed bank, even if it is free of default risk.
Roger N. Craine, James L. Pierce
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Much of the literature on the adequacy of bank capital is concerned with the role of such factors as default risk and faulty management. These factors are important but they neglect the role that purely stochastic elements can play in affecting the capital of a well-managed bank, even if it is free of default risk.
Roger N. Craine, James L. Pierce
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Bank profitability and interest rate risk
Journal of Economics and Business, 1981Abstract It is frequently asserted that the profitability of institutions that lend long and borrow short is restricted during periods of rising interest rates. In banking circles this assertion has been translated into a concern primarily for the soundness of smaller banks, which are commonly thought to hold a large proportion of their portfolios in
Gerald A. Hanweck, Thomas E. Kilcollin
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Interbank Interest Rates and the Risk Premium [PDF]
SSRN Electronic Journal, 1999 The paper presents a one-factor affine model of the term structure of Libor rates with autocorrelated measurement errors. It can be viewed as a central tendency model, with the theoretical arbitrage-free rates serving as stochastic means to which the observed rates revert.
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1995
Where credit is made available in support of an export sale or contracting operation a double interest rate risk exists. On the one hand the financier faces a risk that interest receivable from a borrower or obligor may not cover his or her own funding costs.
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Where credit is made available in support of an export sale or contracting operation a double interest rate risk exists. On the one hand the financier faces a risk that interest receivable from a borrower or obligor may not cover his or her own funding costs.
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2017
When investing in bonds, it may seem that there is no risk, especially when purchasing a bond where the amount of money paid by each coupon and the bond face value are known. However, although the amount of the coupons and the repayment are known, the investor’s final return can change for various reasons, mainly due to interest rate variation.
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When investing in bonds, it may seem that there is no risk, especially when purchasing a bond where the amount of money paid by each coupon and the bond face value are known. However, although the amount of the coupons and the repayment are known, the investor’s final return can change for various reasons, mainly due to interest rate variation.
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The Bahncard Problem with Interest Rate and Risk
2005This paper investigated a new framework for the competitive analysis of the Bahncard problem. In contrast to the earlier approach we introduce the interest rate i and the risk tolerance t into the model, in which the traveller can develop the optimal trading strategies based on his risk preference. Set $\alpha=\frac{1}{1+i}$. We prove that the Bahncard
Lili Ding, Yinfeng Xu, Shuhua Hu
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Interest Rate Pass-through and Risk [PDF]
Economic Issues, 2010 One of the most striking features of the financial crisis that began in the autumn of 2007 has been the associated upheaval in conventional interest rate spreads. In the UK, this is most frequently symbolised by the widening (and increased volatility) of the spread between 3-month Libor and the Bank of England's policy rate.
Iris Biefang Frisancho-Mariscal +1 more
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Risk Processes with Random Interest Rates
Cybernetics and Systems Analysis, 2000The behavior of the capital value of a life insurance company with one type of policies and a random interest rate is investigated.
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Money, interest rates, and risk
Journal of Monetary Economics, 1983Abstract This paper analyzes the role of the risk in the form of the volatility of open market interest rates as a factor in the demand for money. We demonstrate, using an inventory theoretic model of money demand, that increases in interest rate volatility will increase the demand for money.
Myron B. Slovin, Marie Elizabeth Sushka
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