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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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Mechanism and accounting treatment of interest rate swap [PDF]
Bankarstvo, 2015 Interest rate swap is a derivative which is today routinely used in the financial sector worldwide. As opposed to that, the swap market in Serbia is reduced to basic versions of interest rate swaps only, and is limited to the major users and providers of
Prošić Danica
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Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment
Mathematics, 2022 To ensure the success of a pension plan under a self-contained defined contribution (DC) retirement plan, the inclusion of foreign assets in a local pension portfolio could be beneficial for risk diversification and the efficient improvement of a fund’s ...
Mei-Ling Tang +2 more
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Managing interest rate risk with interest rate futures [PDF]
Ekonomika preduzeca, 2014 Due to the wide impact that interest rate changes have on business performance, it is very important to manage this type of risk. A large number of instruments can be used for protection against interest rate risk. Financial derivatives are a very simple way to minimize interest rate risk and therefore are extremely popular.
openaire +1 more source
İstanbul İktisat Dergisi, 2020 This study examines the impact of exchange rate and interest changes on stock returns and volatility of Turkish insurance companies using the EGARCH model for the period of 01/01/2009 to 15/04/2020.
İsmail Erkan Çelik
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Business: Theory and Practice, 2022 The current study aims to determine the effect of interest rate risk on financial performance through the banking security degree as a mediating variable. The study population includes 13 Jordanian commercial banks from 2011 to 2018.
Zaher Abdel Fattah Al-Slehat
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