[PDF] Pricing And Hedging Interest And Credit Risk Sensitive Instruments eBook

Author : Frank Skinner
Publisher : Elsevier
Page : 389 pages
File Size : 31,91 MB
Release : 2004-10-29
Category : Business & Economics
ISBN : 0080473954

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This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD. * Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models* Can be used for self-study - a complete book on the topic, which includes examples with answers

Author : Brian Coyle
Publisher : Global Professional Publishi
Page : 172 pages
File Size : 12,70 MB
Release : 2001
Category : Business & Economics
ISBN : 9780852974452

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� Worked examples illustrating key points � Explanation of complex or obscure terms � Full glossary of terms The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management. Topics include interest-rate risk, identifying interest-rate exposures, hedging policy, forward rate agreements, structural hedging, and hedging with derivative instruments and interest-rate futures, options and swaps

Author : Frank S. Skinner
Publisher :
Page : pages
File Size : 22,54 MB
Release : 1999
Category :
ISBN :

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To date there is no satisfactory way to measure and control interest rate risk for bonds subject to high levels of credit risk. In addressing this gap, this work develops the survival measure, a new measure of interest rate sensitivity for corporate bonds. An acid test of a sensitivity measure is its use as a hedge ratio. The hedge ratio based on a particular sensitivity measure that minimizes cash portfolio losses in response to an unexpected change in interest rates will be the quot;bestquot; measure of interest rate risk. Accordingly, nine alternate hedge ratios, seven of which are new, are developed and examined. Considerable variations in the size of alternate hedge ratios suggest that improvements in hedging strategies may be available, depending on whether credit risky bonds have a consistently greater (less) response to a change in the level of interest than that suggested by the Macaulay duration based hedge ratio now used in practice. Some preliminary evidence suggests that the survival interest rate sensitivity measure developed here can improve hedging performance and therefore is a better measure of interest rate sensitivity for corporate bonds than Macaulay duration.

Author : John J. Stephens
Publisher : John Wiley & Sons
Page : 208 pages
File Size : 50,93 MB
Release : 2002-03-12
Category : Business & Economics
ISBN :

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This book tackles the subject of interest rate risk, a matter of key importance to all businesses, whether borrowing, investing, saving or trading.

Author : Beata Lubinska
Publisher : John Wiley & Sons
Page : 263 pages
File Size : 47,1 MB
Release : 2021-11-01
Category : Business & Economics
ISBN : 1119755018

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Introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations. Interest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding the banking industry for the last couple of years. The importance of IRRBB is shifting for banks, away from ‘just’ a regulatory requirement to having an impact on the overall profitability of a financial institution. Interest Rate Risk in the Banking Book sheds light on the best practices for managing this importance risk category and provides detailed analysis of the hedging strategies, practical examples, and case studies based on the author’s experience. This handbook is rich in practical insights on methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department and is helpful in improving and optimizing their IRRBB framework and strategy. By the end of this IRRBB journey, the reader will be equipped with all the necessary tools to build a proactive and compliant framework within a financial institution. Gain an updated understanding of the evolving regulatory landscape for IRRBB Learn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts • Understand how customer behavior impacts interest rate risk and how to manage the consequences Examine case studies illustrating key IRRBB exposures and their implications Written by London market risk expert Beata Lubinska, Interest Rate Risk in the Banking Book is the authoritative resource on this evolving topic.

Author : Martin Feldstein
Publisher : University of Chicago Press
Page : 212 pages
File Size : 35,72 MB
Release : 1991-08-13
Category : Business & Economics
ISBN : 9780226240916

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Based on a special National Bureau of Economic Research conference held in Oct. 1989. Includes bibliographical references and indexes.

Author : Giovanni Cesari
Publisher : Springer Science & Business Media
Page : 257 pages
File Size : 42,98 MB
Release : 2009-12-06
Category : Business & Economics
ISBN : 3642044549

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It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.

Author : Vanessa Le Leslé
Publisher : International Monetary Fund
Page : 50 pages
File Size : 24,28 MB
Release : 2012-03-01
Category : Business & Economics
ISBN : 1475502656

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In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.