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- Supervising Interest Rate Risk Management
- From the executive summary: ‘Over the past few years, financial institutions have made significant efforts to establish and improve their procedures for Interest Rate Risk IRR management, including economic models of interest rates and related models of credit risk. At the same time, bank supervisors worldwide, including the Federal agencies...
- White papers 2004-09-17
- Sensitivity to Market Risk
- This article is about "Sensitivity to Market Risk" denoted by "S". This "S" component rates the degree of market risk taken, management's ability to identify, measure, monitor, and control that risk, and the financial support provided by earnings and capital. Primarily, market risk results from interest rate, foreign exchange rate,...
- White papers
Additional Resources
- Manage Your Interest Rate Risk
- As a business owner, you know that controlling risk is critical to success. One key risk is interest-rate volatility. Rising rates can have a double impact on businesses when borrowing costs rise at a time of declining sales. By hedging against the risk of rising rates, a small business can...
- White papers 2007-07-12
- Management of Interest Rate Risk,Investment Securities and Derivatives Activities
- "This Bulletin provides guidance to management and boards of directors of thrift institutions on the management of interest rate risk, including the management of investment and derivatives activities. In addition, it describes the framework examiners will use in assigning the "Sensitivity to Market Risk" (or "S") component rating.An...
- White papers 1998-12-01
- Interest Rate Risk and Bank Net Interest Margins
- The paper reveals that Banks and their supervisors have spent considerable time and effort in recent years developing systems for monitoring and managing interest rate risk. This special feature examines that specific component of interest rate risk arising from the possible effects of changes in market interest rates on bank...
- White papers 2002-12-01
- Principles for the Management of Interest Rate Risk
- It is essential that banks have a comprehensive risk management process in place that effectively identifies, measures, monitors and controls interest rate risk exposures, and that is subject to appropriate board and senior management oversight. This paper describes each of these elements, drawing upon experience in member countries and principles...
- White papers 1997-09-01
- Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure
- This paper examines the role played by derivatives in determining the interest rate sensitivity of bank holding companies' (BHCs') common stock, controlling for the influence of on-balance sheet activities and other bank-specific characteristics. The major result of the analysis suggests that derivatives have played a significant role in shaping banks'...
- White papers 2002-01-02
- ABN AMRO's Addition of BancWare Advanced Analytics - Including OAV - Takes Interest Rate Risk Management at ABN AMRO North America to New Heights
- The acronym "AANA" has a dual meaning to some at the Chicago-based headquarters for ABN AMRO's North American operations. While typically standing for ABN AMRO North America, it can also stand for ALCO Analytics for a New Age. The latter embodies the notion that leading-edge analytical tools are requisite for...
- Case studies
- Rate Risk Fears Lead to New Corporate Bond Funds
- LONDON (Reuters) - In the midst of this year's once-in-a-lifetime rally in corporate bonds, some investors already see the specter that rising interest rates in the future could destroy much of their gains.A few are even starting to protect themselves, while the risk is still months away and the price...
- News items 2009-10-30
- Laddering A Bond Portfolio Will Substantially Reduce Your Client's Exposure To Interest Rate Volatility
- Many advisers purchase bonds and bond funds as a part of their clients' comprehensive investment portfolios. They are attracted because of their perceived safety and high yields. Of course, not all bonds and bond funds are the same. Investors are consistently lured by high yields into high-risk bond strategies, only...
- White papers 2001-06-01
- Smoother way to trade interest rate swaps
- As liquidity grows in interest rate swap futures, traders will benefit from improved hedging and trading possibilities. However, to take advantage of these markets, you need to understand the relationships among futures on swaps, T-notes and Eurodollars. Electronic or automated, trading of interest rate swaps has created an...
- Research articles 2008-01-01
- Interest rate swaps
- Interest rate swap agreements are private contracts that obligate two parties to exchange interest payments, usually every three or six months, for a set number of years. The contract is based on a notional principal amount that is never actually exchanged but serves as the reference amount against which the...
- Research articles 1996-08-01
- Fitch Exposure Draft: Interest Rate Risk in Structured Transactions for USD LIBOR
- NEW YORK -- Changes in interest rates will play an increasingly significant role in how U.S. structured finance securities perform not only as rates continue to rise, but also when they inevitably fall again, according to Fitch Ratings, who has proposed new structured finance interest rate stress criteria. 'Fitch's...
- Research articles 2006-03-28
- Assessing Exchange Rate Risk
- When companies undertake international business, they take a risk because their investments and business operations may be affected by changes in the exchange rates for different currencies. This risk is known as exchange rate risk.Increasingly, companies are fighting for a slice of global markets, particularly in developing nations, and putting...
- Articles 2007-12-06
- CMOs, Duration Risk and a New Mortgage
- This article presents an alternative mortgage that retains the fixed-rate feature of a fixed-rate mortgage FRM, but accelerates the principal amortization when interest rates rise, exposing the buyer to less duration risk in a rising interest rate environment. This mortgage, labeled the adjustable amortization mortgage AAM, is shown to have...
- White papers 2000-01-01
- A Simple Model For Pricing Derivative Securities With Equity, Interest-Rate, Default And Liquidity Risk
- This article provides a model for pricing securities that may be a function of several different sources of risk, namely, equity, interest-rate, default and liquidity risks. The model is also useful for extracting probabilities of default PDs in a model with equity, interest rate and credit risk. The model is...
- White papers 2002-06-01
- A Simple Unified Model For Pricing Derivative Securities With Equity, Interest-Rate, Defualt And Liquidity Risk
- This paper develops a model for pricing securities that may be a function of several different sources of risk, namely, equity, interest-rate, default and liquidity risks. The model is also useful for extracting probabilities of default PD functions from market data. The model is not based on the stochastic process...
- White papers 2003-01-01
- A Simple Unified Model For Pricing Derivative Securities With Equity, Interest-Rate, Default And Liquidity Risk
- This paper develops a model for pricing securities that may be a function of several different sources of risk, namely, equity, interest-rate, and default and liquidity risks. The model is also useful for extracting probabilities of default PD functions from market data. It is not based on the stochastic process...
- White papers 2003-01-01
- A Simple Unified Model For Pricing Derivative Securities With Equity, Interest-Rate, And Default Risk
- This article presents a model for pricing derivative and hybrid securities whose value may depend on different source of risk, namely, equity, interest-rate, and default risks. In addition to valuing such securities the framework also useful for extracting probabilities of default PD functions from market data. The model is not...
- White papers 2003-08-01
- A Simple Unified Model for Pricing Derivative Securities with Equity, Interest-Rate, and Default Risk
- The article develop a model for pricing derivative and hybrid securities whose value may depend on different sources of risk, namely, equity, interest-rate, and default risks. In addition to valuing such securities, the framework is also useful for extracting probabilities of default PD functions from market data. The model is...
- White papers 2003-01-01
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