International Convergence of Capital Measurement and Capital Standards
Author :
Publisher : Lulu.com
Page : 294 pages
File Size : 27,13 MB
Release : 2004
Category : Bank capital
ISBN : 9291316695
Author :
Publisher : Lulu.com
Page : 294 pages
File Size : 27,13 MB
Release : 2004
Category : Bank capital
ISBN : 9291316695
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 545 pages
File Size : 40,7 MB
Release : 2003-09-10
Category : Business & Economics
ISBN : 0471485918
Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange-traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position. Measuring and Controlling Interest Rate and Credit Risk is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart, defining and illustrating interest rate risk and credit risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments discussed include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds; and find in-depth, up-to-date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging. Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University?s School of Management. Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance services in London. Moorad Choudhry (Surrey, England) is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management. He has authored a number of books on fixed income analysis and the capital markets. Moorad began his City career with ABN Amro Hoare Govett Sterling Bonds Limited, where he worked as a gilt-edged market maker, and Hambros Bank Limited where he was a sterling proprietary trader. He is currently a vice-president in Structured Finance Services with JPMorgan Chase Bank in London.
Author : Frank J. Fabozzi
Publisher :
Page : 336 pages
File Size : 10,94 MB
Release : 1996-08-15
Category : Business & Economics
ISBN :
Fabozzi provides an explanation of concepts such as duration and convexivity, as well as more advanced topics such as probability distributions and regression analysis. He also gives keys to using derivatives to control interest rate risk
Author : John J. Stephens
Publisher : John Wiley & Sons
Page : 208 pages
File Size : 10,93 MB
Release : 2002-03-12
Category : Business & Economics
ISBN :
This book tackles the subject of interest rate risk, a matter of key importance to all businesses, whether borrowing, investing, saving or trading.
Author : Thordur Jonasson
Publisher : International Monetary Fund
Page : 133 pages
File Size : 12,50 MB
Release : 2018-04-06
Category : Business & Economics
ISBN : 1484350545
This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.
Author : Arnaud de Servigny
Publisher : McGraw Hill Professional
Page : 488 pages
File Size : 32,29 MB
Release : 2004-05-05
Category : Business & Economics
ISBN : 9780071417556
Publisher Description
Author : Natalya Martynova
Publisher : International Monetary Fund
Page : 44 pages
File Size : 18,50 MB
Release : 2015-11-25
Category : Business & Economics
ISBN : 1513517589
Traditional theory suggests that more profitable banks should have lower risk-taking incentives. Then why did many profitable banks choose to invest in untested financial instruments before the crisis, realizing significant losses? We attempt to reconcile theory and evidence. In our setup, banks are endowed with a fixed core business. They take risk by levering up to engage in risky ‘side activities’(such as market-based investments) alongside the core business. A more profitable core business allows a bank to borrow more and take side risks on a larger scale, offsetting lower incentives to take risk of given size. Consequently, more profitable banks may have higher risk-taking incentives. The framework is consistent with cross-sectional patterns of bank risk-taking in the run up to the recent financial crisis.
Author : Arindam Bandyopadhyay
Publisher : Cambridge University Press
Page : 390 pages
File Size : 13,5 MB
Release : 2016-05-09
Category : Business & Economics
ISBN : 110714647X
This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
Author :
Publisher :
Page : 414 pages
File Size : 11,45 MB
Release : 1986
Category :
ISBN :
Author :
Publisher :
Page : 114 pages
File Size : 16,73 MB
Release : 1988
Category : Business & Economics
ISBN :