Interest Rate Risk Modeling
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Interest Rate Risk Modeling
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Author : Sanjay K. Nawalkha
language : en
Publisher: John Wiley & Sons
Release Date : 2005-05-31
Interest Rate Risk Modeling written by Sanjay K. Nawalkha and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-31 with Business & Economics categories.
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.
Interest Rate Risk Models
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Author : Anthony G. Cornyn
language : en
Publisher: Global Professional Publishi
Release Date : 1997
Interest Rate Risk Models written by Anthony G. Cornyn and has been published by Global Professional Publishi this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
� 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.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
An Elementary Introduction To Stochastic Interest Rate Modeling
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Author : Nicolas Privault
language : en
Publisher: World Scientific
Release Date : 2012
An Elementary Introduction To Stochastic Interest Rate Modeling written by Nicolas Privault and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students. This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.
Interest Rate Modeling
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Author : Leif B. G. Andersen
language : en
Publisher:
Release Date : 2010
Interest Rate Modeling written by Leif B. G. Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Interest rate futures categories.
"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.
The Validation Of Risk Models
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Author : S. Scandizzo
language : en
Publisher: Springer
Release Date : 2016-07-01
The Validation Of Risk Models written by S. Scandizzo and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-01 with Business & Economics categories.
This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.
Advances In Fixed Income Valuation Modeling And Risk Management
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Author : Frank J. Fabozzi, CFA
language : en
Publisher: John Wiley & Sons
Release Date : 1997-01-15
Advances In Fixed Income Valuation Modeling And Risk Management written by Frank J. Fabozzi, CFA and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-01-15 with Business & Economics categories.
Advances in Fixed Income Valuation Modeling and Risk Management provides in-depth examinations by thirty-one expert research and opinion leaders on topics such as: problems encountered in valuing interest rate derivatives, tax effects in U.S. government bond markets, portfolio risk management, valuation of treasury bond futures contract's embedded options, and risk analysis of international bonds.
Credit Risk Modeling
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Author : David Lando
language : en
Publisher: Princeton University Press
Release Date : 2009-12-13
Credit Risk Modeling written by David Lando and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-13 with Business & Economics categories.
Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.
Interest Rate Models Theory And Practice
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Author : Damiano Brigo
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-09-26
Interest Rate Models Theory And Practice written by Damiano Brigo and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-09-26 with Mathematics categories.
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Creditrisk In The Banking Industry
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Author : Matthias Gundlach
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-06-18
Creditrisk In The Banking Industry written by Matthias Gundlach and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-06-18 with Business & Economics categories.
CreditRisk+ is a widely implemented default-mode model of portfolio credit risk, based on a methodology borrowed from actuarial mathematics. This book gives an account of the status quo as well as of new and recent developments of the credit risk model CreditRisk+, which is widely used in the banking industry. It gives an introduction to the model itself and to its ability to describe, manage and price credit risk. This timely book will be an indispensable tool.