International Convergence of Capital Measurement and Capital Standards
Author:
Publisher: Lulu.com
Published: 2004
Total Pages: 294
ISBN-13: 9291316695
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Interest Rate Risk in the Banking Book
Author: Beata Lubinska
Publisher: John Wiley & Sons
Published: 2021-11-01
Total Pages: 263
ISBN-13: 1119755018
DOWNLOAD EBOOKIntroduces 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.
Managing Interest Rate Risk
Author: John J. Stephens
Publisher: John Wiley & Sons
Published: 2002-03-12
Total Pages: 208
ISBN-13:
DOWNLOAD EBOOKThis book tackles the subject of interest rate risk, a matter of key importance to all businesses, whether borrowing, investing, saving or trading.
Interest Rate Risk in the Banking Book
Author: PAUL. NEWSON
Publisher:
Published: 2017
Total Pages: 255
ISBN-13: 9781782723257
DOWNLOAD EBOOKAdvanced Financial Risk Management
Author: Donald R. Van Deventer
Publisher: John Wiley & Sons
Published: 2013-02-06
Total Pages: 834
ISBN-13: 1118278550
DOWNLOAD EBOOKPractical tools and advice for managing financial risk, updated for a post-crisis world Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the book covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models. Revised and updated with lessons from the 2007-2010 financial crisis, Advanced Financial Risk Management outlines a framework for fully integrated risk management. Credit risk, market risk, asset and liability management, and performance measurement have historically been thought of as separate disciplines, but recent developments in financial theory and computer science now allow these views of risk to be analyzed on a more integrated basis. The book presents a performance measurement approach that goes far beyond traditional capital allocation techniques to measure risk-adjusted shareholder value creation, and supplements this strategic view of integrated risk with step-by-step tools and techniques for constructing a risk management system that achieves these objectives. Practical tools for managing risk in the financial world Updated to include the most recent events that have influenced risk management Topics covered include the basics of present value, forward rates, and interest rate compounding; American vs. European fixed income options; default probability models; prepayment models; mortality models; and alternatives to the Vasicek model Comprehensive and in-depth, Advanced Financial Risk Management is an essential resource for anyone working in the financial field.
The Handbook of Interest Rate Risk Management
Author: Jack Clark Francis
Publisher: Irwin Professional Publishing
Published: 1994
Total Pages: 832
ISBN-13: 9781556233821
DOWNLOAD EBOOKRisk management products and derivatives have grown ever more numerous and diverse since the late 1980s. Investors need to know which ones will best serve their needs in today's dynamic bond market. This book reveals how more than three dozen experts control and preserve the value of their own fixed income portfolios--from choosing the right risk management product to monitoring and evaluating the effectiveness of hedge management strategies. Shows investors how to make the best use of swaps, options, futures, and other risk management products in the market; identify and measure a portfolio's or corporation's risk exposure; and more.
Interest Rate Risk Models
Author: Anthony G. Cornyn
Publisher: Global Professional Publishi
Published: 1997
Total Pages: 458
ISBN-13: 9781888998047
DOWNLOAD EBOOK� Practical guide for asset-liability managers faced with the decision as to whether to build or buy a financial model � Topics include modeling cash flows, net investment income versus net portfolio value, projections of interest rates, and volatility A guide for asset-liability managers and other investment professionals who are faced with the decision of whether to build or buy a financial model to measure, monitor, and help manage their institution's risk exposure. It reviews the evolution of interest rate risk models and evaluates the state-of-the-art models in use. Includes Modeling cash flows; modeling the term structure; OAS technology; net interest income versus net portfolio value; build versus buy analysis; practical methods for deriving input assumptions; prepayment rates; deposit decay rates; projections of interest rate and volatility.
Interest Rate Risk Modeling
Author: Sanjay K. Nawalkha
Publisher: John Wiley & Sons
Published: 2005-05-31
Total Pages: 429
ISBN-13: 0471737445
DOWNLOAD EBOOKThe definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Controlling Interest Rate Risk
Author:
Publisher:
Published: 1986
Total Pages: 414
ISBN-13:
DOWNLOAD EBOOKTreasury Management
Author: Steven M. Bragg
Publisher: John Wiley & Sons
Published: 2010-03-02
Total Pages: 309
ISBN-13: 0470497084
DOWNLOAD EBOOKTREASURY MANAGEMENT The Practitioner's Guide Treasury Management: The Practitioner's Guide describes all aspects of the treasury function. This comprehensive book includes chapters covering the treasury department, cash transfer methods, cash forecasting, cash concentration, working capital management, debt management, equity management, investment management, foreign exchange risk management, interest risk management, clearing and settlement systems, and treasury systems. If you are a treasurer, CFO, cash manager, or controller, Treasury Management: The Practitioner's Guide allows you to quickly grasp the real world of treasury management and the many practical and strategic issues faced by treasurers and financial professionals today.
