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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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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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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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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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Bank Interest Rate Risk Management
Management Science, 2019Empirically, bank equity value is decreasing in the interest rate. Yet (i) many banks do not hedge interest rate risk, and (ii) more than 50% of hedging banks use derivatives to increase exposure. I model a bank’s capital structure and show that these facts are consistent with optimal hedging under financial frictions.
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SSRN Electronic Journal
This paper studies a form of liquidity risk that we call ‘Liquidity After Solvency Hedging’ or “LASH” risk. Financial institutions take LASH risk when they hedge against solvency risk, using strategies that require liquidity when the solvency of the institution improves. We focus on LASH risk relating to interest rate movements.
Laura Alfaro +4 more
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This paper studies a form of liquidity risk that we call ‘Liquidity After Solvency Hedging’ or “LASH” risk. Financial institutions take LASH risk when they hedge against solvency risk, using strategies that require liquidity when the solvency of the institution improves. We focus on LASH risk relating to interest rate movements.
Laura Alfaro +4 more
openaire +1 more source