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Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition)

2018-05-09 Business & Economics
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Release : 2018-05-09
Genre : Business & Economics
Kind : eBook
Book Rating : 891/5 ( reviews)

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Book Synopsis Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition) by : Takashi Yasuoka

Download or read book Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition) written by Takashi Yasuoka. This book was released on 2018-05-09. Available in PDF, EPUB and Kindle. Book excerpt: Interest Rate Modeling for Risk Management presents an economic model which can be used to compare interest rate and perform market risk assessment analyses. The key interest rate model applied in this book is specified under real-world measures, and the result is used as to generate scenarios for interest rates. The book introduces a theoretical framework that allows estimating the market price of interest rate risk. For this, the book starts with a brief explanation of stochastic analysis, and introduces interest rate models such as Heath-Jarrow-Morton, Hull-White and LIBOR models. The real-world model is then introduced in subsequent chapters. Additionally, the book also explains some properties of the real-world model, along with the negative price tendency of the market price for risk and a positive market price of risk (with practical examples). Readers will also find a handy appendix with proofs to complement the numerical methods explained in the book. This book is intended as a primer for practitioners in financial institutions involved in interest rate risk management. It also presents a new perspective for researchers and graduates in econometrics and finance on the study of interest rate models. The second edition features an expanded commentary on real world models as well as additional numerical examples for the benefit of readers.

Interest Rate Modeling

2010 Business & Economics
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Release : 2010
Genre : Business & Economics
Kind : eBook
Book Rating : 104/5 ( reviews)

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Book Synopsis Interest Rate Modeling by : Leif B. G. Andersen

Download or read book Interest Rate Modeling written by Leif B. G. Andersen. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt: "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.

Interest Rate Risk Modeling

2005-05-31 Business & Economics
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Release : 2005-05-31
Genre : Business & Economics
Kind : eBook
Book Rating : 445/5 ( reviews)

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Book Synopsis Interest Rate Risk Modeling by : Sanjay K. Nawalkha

Download or read book Interest Rate Risk Modeling written by Sanjay K. Nawalkha. This book was released on 2005-05-31. Available in PDF, EPUB and Kindle. Book excerpt: The 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.

Advanced Financial Risk Management

2013-02-06 Business & Economics
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Release : 2013-02-06
Genre : Business & Economics
Kind : eBook
Book Rating : 550/5 ( reviews)

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Book Synopsis Advanced Financial Risk Management by : Donald R. Van Deventer

Download or read book Advanced Financial Risk Management written by Donald R. Van Deventer. This book was released on 2013-02-06. Available in PDF, EPUB and Kindle. Book excerpt: Practical 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.

Interest-Rate Management

2013-04-17 Business & Economics
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Release : 2013-04-17
Genre : Business & Economics
Kind : eBook
Book Rating : 069/5 ( reviews)

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Book Synopsis Interest-Rate Management by : Rudi Zagst

Download or read book Interest-Rate Management written by Rudi Zagst. This book was released on 2013-04-17. Available in PDF, EPUB and Kindle. Book excerpt: This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook on financial markets for graduate and PhD students in mathematics. Interesting and comprehensive case studies illustrate the theoretical concepts.

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