Rate risk

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  • This chapter presents the following content: Bank risk, interest rate risk, trading risk, other risks, globalization of banking, the future of banks, non-depository institutions, insurance companies, securities firms, finance companies, government sponsored enterprises.

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  • Topic 12 - Measuring and managing interest rate risk with financial forwards, futures and swaps. In this chapter, students can understand and can recall how DV01, Duration, Convexity, VaR, and Stress Tests are used to measure interest rate risk; how interest rate forwards, futures, and swaps are used to manage interest rate risk.

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  • Banks operating in the main developed countries have been exposed, since the Seventies, to four significant drivers of change, mutually interconnected and mutually reinforcing. The first one is a stronger integration among national financial markets (such as stock markets and markets for interest rates and FX rates) which made it easier, for economic shocks, to spread across national boundaries.

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  • It is widely believed that changes in exchange rates have important implications for financial decision-making and for the profitability of firms. One of the central motivations for the creation of the euro was to eliminate exchange rate risk to enable European firms to operate free from the uncertainties of changes in relative prices resulting from exchange rate movements. At the macro level, there is evidence that the creation of such currency unions results in a dramatic increase in bilateral trade (Frankel and Rose, 2002)....

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  • Chapter 14 - Interest rate risk measurement. Upon completion of this lesson, the successful participant will be able to: Describe interest rate risk and its forms, identify the components of an interest rate risk exposure management system, explain the interest rate risk management principle of asset repricing before liabilities,...

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  • As an asset class, we believe bank loans are likely to outperform most other fixed income asset classes that have duration risk in a rising interest rate environment. That potential outperformance will likely be somewhat muted in the early phases of the environment, due to LIBOR floors. As with other tactical or strategic allocations, the attractiveness of bank loans should be assessed against the investor’s overall objectives.

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  • Lecture Money and banking - Lecture 10: Bond pricing and risk presents the following content: Application of present value concept (bond bricing), real vs nominal interest rates, risk, characteristics, measurement.

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  • Lecture Money and banking - Lecture 16 include all of the following: Bonds and risk, default risk, inflation risk, interest rate risk, bond ratings, bond ratings and risk, tax effect.

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  • Essentials of Investments: Chapter 19 - Globalization and International Investing includes Risk Factors in International Investing, Exchange Rate Risk, Hedging Exchange Rate Risk, Political Risk.

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  • Chapter 22 - Managing interest rate risk and insolvency risk on the balance sheet. This chapter provided an in-depth look at the measurement and on-balance-sheet management of interest rate and insolvency risks. The chapter first introduced two methods to measure an FI's interest rate gap and thus its risk exposure: the repricing model and the duration model.

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  • After studying this chapter you will be able to understand: Background on savings institutions, sources and uses of funds, exposure to risk, management of interest rate risk, valuation of a savings institution, interaction with other financial institutions.

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  • Chapter 14 - Interest rate risk measurement. In this chapter, you will learn to: Describe interest rate risk and its forms, identify the components of an interest rate risk exposure management system, explain the interest rate risk management principle of asset repricing before liabilities, revisit financial securities repricing and interest rate risk,…

    ppt48p nomoney5 04-03-2017 2 1   Download

  • (BQ) Part 1 book "Corporate bond portfolio management" has contents: Features of corporate bonds, analysis of convertible bonds, measuring interest rate risk, corporate spread curve strategies, general principles of corporate bond valuation and yield measures,...and other contents.

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  • Chapter 5 "History of interest rates and risk premiums" presents the following content: Factors influencing rates, level of interest rates, real vs. nominal rates, rates of return: single period, characteristics of probability distributions, mean scenario or subjective returns, variance or dispersion of returns,...

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  • Topic 5 - Exchange rates, spot quotes, transactions, forwards, and appreciations. The main goals of this chapter are to: Students can obtain and interpret exchange rates, students can convert currencies using, students can compute and interpret currency appreciations and depreciations, students can compute forward premiums.

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  • Topic 7 - Measuring and managing translation and transaction exposure. In this chapter, students will be able to understand: type of foreign exchange exposure; translation methods and FASB-52; methods for managing translation exposure; the definitions, implementation, and use of EaR to measure exchange rate risk.

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  • This book grows out of 20 years’ banking research and training of bankers in Europe, the Americas, Africa and Asia. As deregulation and competition are reducing margins around the world, the need for knowledge on Asset and Liability Management, the control of bank’s profit and risks, becomes an absolute necessity for any banker in charge of a profit centre, central bankers in charge of bank supervision, and banks’ auditors, consultants or lawyers.

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  • All REITs are subject to two principal potential hazards: an excess supply of available rental space and rising interest rates. There is also a third category, which is related to REITs’ investment popularity at various times. First we’ll address the broad issues.

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  • Understanding the relationship between credit and interest rate risk is critical to many applications in finance, from valuation of credit and interest rate-sensitive instruments to risk management. This study empirically examines the relationship between interest rates and default risk using firm level corporate default data in the United States between 1982 and 2008. We find significant negative contemporaneous correlations between the changes in short interest rates and aggregate default rates, with a particularly strong relationship around financial crises.

    pdf17p man3172 12-06-2010 107 35   Download

  • In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems.

    pdf256p tieungot 24-01-2013 66 29   Download

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