Benchmarking, performance and interest rate risk analysis
Interest rate risk of Australian REITs: A panel analysis
... to interest rate ...to interest rates from 1980 to 2013, and how these vary at different parts of an economic ...short-term interest rates at the lowest ...
12
Are Interest Rate Options Important for the Assessment of Interest Rate Risk?
... acceptance rate of the bond version, when we jointly analyze 1-day (Table 2) and 10-day (Table 3) containing VaR backtesting results, the option version still outperforms the bond version (the bond version is ...
47
Inclusion of Interest Rate Risk in Credit Risk on Bank Performance: Evidence in Indonesia
... the interest rate is merely a monetary phenomenon in which the formation takes place on the money ...the interest rate is determined by the supply and demand for ...the interest ...
14
Interest rate risk reports
... internal interest rate risk measure (meaningful designation and value in Swiss francs, years or ...gap analysis as their most important interest rate risk measure must ...
6
A financial econometric analysis of the determinants of interest rate risk in the US
... of risk is the gap risk (more typical of a nonfinancial firm) which arises from mismatched timing in repricing interest-rate-sensitive assets and ...price risk and a reinvestment ...
20
ANALYSIS OF THE IMPACTS OF INTEREST RATE AND EXCHANGE RATE ON CAPITAL MARKET PERFORMANCE IN NIGERIA
... investment risk reduction by offering opportunities for portfolio ...the rate of interest paid by banks to depositors is increased, investors will patronize the banks the more and fewer investors ...
11
THE INFLUENCE OF INTEREST RATE RISK ON THE PERFORMANCE OF DEPOSIT MONEY BANKS IN NIGERIA
... perceive interest rate as either the price of deposits on one hand and cost of borrowing on the other ...of interest rate risk on the performance of DMBs in Nigeria between 2002 ...
10
Interest Rate Derivatives: An analysis of interest rate hybrid products
... the performance of our models, we will evaluate how well the mod- els hedges ...stochastic interest rates section that the volatility of the underlying is the only input into the model and thus determines ...
35
Exchange Rate, Interest Rate and Stock Market Price Volatility for Value-at-Risk Analysis
... process that the impacts of the shocks into the variance will never die out but remain for ever. For the second subperiod 21 Mar. The models indicate a rather weak react[r] ...
93
cutting edge. inteRest Rate Risk
... U ( ) r;n := 1 T E ( ∫ 0 T n t r t dt − ∫ 0 T ∫ 0 n t ρ t ( D t + x ) dxdt ) ← maxn (1) In contrast, when lending at Libor over a period of length T, a bank cannot modify the notional amount N. As the composition of the ...
5
Interest-Rate Risk Management Section
... the risk of these activities into the overall risk management process of the ...the risk exposures generated by these activities is fully recognized and appropriately ...credit analysis ...
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INTEREST RATE RISK IN THE BANKING BOOK
... judgement-based analysis to the use of more sophisticated forecasting models with a variety of ...an analysis of long term stability and an expectation of how the NDM volume will be priced in the ...an ...
9
Managing Real Estate Exposure: An Empirical Analysis on Interest Rate Risk
... hedge interest rate risk, inflation, currency risks, and property price ...hedge interest rate risk which is also studied in this paper, instruments such as cap, swap, and collar ...
14
Liquidity risk and interest rate risk on banks: are they related?
... liquidity risk and the interest rate risk of credit ...of analysis of a small Italian bank during the years 2009 and 2010, we outlined its liquidity profile, the variables that ...
37
Banks' Interest Rate Risk: Pricing and Risk Management
... simultaneous risk management framework. The start date of the analysis is due to the availability of data for the variable Liquid assets ...hazard rate model we employ data starting in 1994 to make ...
154
The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
... immunization performance of deterministic and stochastic risk ...immunization performance than the alternative lower-dimensional specifi- ...of risk factors considered in the design of ...
38
Interest rate modeling with applications to counterparty risk
... The alpha multiplier provides a means of conditioning internal estimates of EPE on a “bad state” of the economy. In addition, it acts to adjust internal EPE estimates for both correla- tions of exposures across ...
76
Management of Interest Rate Risk in Indian Banking
... of interest rate risk in Indian banking, in addition to the existing return on Interest Rate Sensitivity under Traditional Gap Analysis, a new return is being introduced to ...
19
Interest Rate Risk Management at Community Banks
... EaR analysis) are occasionally used at community banks, the most common long- term measurement technique is some variation of economic value of equity (EVE) ...EVE analysis, unlike the EaR measure, involves ...
26
Option pricing to hedge interest rate risk
... In this case, the valuation should reflect the uncertainty and potential for ei- ther amounts to be paid, which will have an additional cost over considering just one component. The principles of IAS (International ...
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