The Effect Of Risk On Interest Rates
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The Effect Of Risk On Interest Rates
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Author : Pentti J. K. Kouri
language : en
Publisher:
Release Date : 1981
The Effect Of Risk On Interest Rates written by Pentti J. K. Kouri and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Bonds categories.
This paper analyzes the effects of real income and price level uncertainty on equilibrium interest rates. It is demonstrated that even if there are no outside nominal assets, the interest rate on nominal bonds contains a risk premium, or as the case may be, a risk discount. The sign, and the magnitude, of the deviation from the Fisher parity depends on the covariance between the purchasing power of money on the one hand and real income on the other. The second part of the paper extends the model into a model of two countries, two monies and two bonds denominated in these two monies. It is shown, in contrast with statements made in the literature, that the 'efficiency' of international financial markets does not imply equality of expected real interest rates on bonds denominated in different currencies, nor does it imply that the forward exchange rate should be an unbiased predictor of the future spot exchange rate. This is again true even when there are no outside nominal assets in the world economy.
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.
Risk Taking And Interest Rates
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Author : Seung Jung Lee
language : en
Publisher: International Monetary Fund
Release Date : 2017-01-27
Risk Taking And Interest Rates written by Seung Jung Lee and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-27 with Business & Economics categories.
We study how low interest rates in the United States affect risk taking in the market of crossborder leveraged corporate loans. To the extent that actions of the Federal Reserve affect U.S. interest rates, our analysis provides evidence of a cross-border spillover effect of monetary policy. We find that before the crisis, lenders made ex-ante riskier loans to non- U.S. borrowers in response to a decline in short-term U.S. interest rates, and, after it, in response to a decline in longer-term U.S. interest rates. Economic uncertainty and risk appetite appear to play a limited role in explaining ex-ante credit risk. Our results highlight the potential policy challenges faced by central banks in affecting credit risk cycles in their own jurisdictions.
Interest Rate Risk Management
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Author : Christine Helliar
language : en
Publisher: Elsevier
Release Date : 2005-05-04
Interest Rate Risk Management written by Christine Helliar and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-04 with Business & Economics categories.
Financial risk management is currently subject to much debate, especially the accounting for derivative products, and a number of commentators are objecting to the introduction of International Accounting Standard IAS 39 for Derivatives that will be in force by January 2005 for all EU companies. The topic of hedge accounting and the treatment of fair values may have a significant impact on many companies reported profits, and the volatility of earnings is likely to increase. Uniquely this monograph focuses on interest rate risk management. Most studies of corporate risk management have typically dwelt on the topic of management of exchange rate risk, with interest rate risk management being neglected. The book’s findings examine the views of UK corporate treasurers who are usually involved in the risk management strategies of their organisation and who have responsibility for implementing those strategies in practice. * The research is the first comprehensive UK study on this area * Relevant to the imminent arrival of IAS 39, the International Accounting Standard for Derivatives that will be in force by January 2005 for all EU companies. * The findings of the book have implications for government policy and regulators
Interest Rate Risk In The Banking Book
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Author : PAUL. NEWSON
language : en
Publisher:
Release Date : 2017
Interest Rate Risk In The Banking Book written by PAUL. NEWSON and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Banks and banking categories.
Riding The Yield Curve Risk Taking Behavior In A Low Interest Rate Environment
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Author : Mr.Ralph Chami
language : en
Publisher: International Monetary Fund
Release Date : 2020-03-13
Riding The Yield Curve Risk Taking Behavior In A Low Interest Rate Environment written by Mr.Ralph Chami and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-03-13 with Business & Economics categories.
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Interest Rate Risk Management
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Author : Benton E. Gup
language : en
Publisher: Irwin Professional Publishing
Release Date : 1993-01
Interest Rate Risk Management written by Benton E. Gup and has been published by Irwin Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993-01 with Business & Economics categories.
In Interest Rate Risk Management experts Benton Gup and Robert Brooks explain how banks and other types of financial institutions can use derivative securities to reduce interest rate risk. Comprehensive and in-depth, the book examines the effects of interest rate risk; the effects of interest rate changes on the value of financial assets; traditional and state-of-the art asset liability management techniques; how to hedge interest rate risks using forwards, futures, swaps and various types of options; regulatory and accounting considerations; and interest rate risk management policies. Thorough appendices provide greater detail through discussion of technical details and mathematics. An extensive glossary is provided for quick reference.
Managing Interest Rate Risk
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Author : John J. Stephens
language : en
Publisher: John Wiley & Sons
Release Date : 2002-03-12
Managing Interest Rate Risk written by John J. Stephens 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 2002-03-12 with Business & Economics categories.
This book tackles the subject of interest rate risk, a matter of key importance to all businesses, whether borrowing, investing, saving or trading.
Negative Interest Rates And Financial Stability
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Author : Karol Rogowicz
language : en
Publisher: Taylor & Francis
Release Date : 2022-12-01
Negative Interest Rates And Financial Stability written by Karol Rogowicz and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-12-01 with Business & Economics categories.
This book sheds new light on a recently introduced monetary tool – negative interest rates policy (NIRP). It provides in-depth insight into this phenomenon, conducted by the central banks in several economies, for example, the Eurozone, Switzerland and Japan, and its possible impact on systemic risk. Although it has been introduced as a temporary policy instrument, it may remain widely used for a longer period and by a greater range of central banks than initially expected, thus the book explores its effects and implications on the banking sector and financial markets, with a particular focus on potentially adverse consequences. There is a strong accent on the uniqueness of negative policy rates in the context of financial stability concerns. The authors assess whether NIRP has any – or in principle a stronger – impact on systemic risk than conventional monetary policy. The book is targeted at presenting and evaluating the initial experiences of NIRP policy during normal, i.e. pre-COVID, times, rather than in periods in which pre-established macroeconomic relations are rapidly disrupted or, specifically, when the source of the disruption is not purely economic in nature, unlike in systemic crisis. The authors adopt both theoretical and practical approaches to explore the key issues and outline the policy implications for both monetary and macroprudential authorities, with respect to negative interest rate policy, thus the book will provide a useful guide for policymakers, academics, advanced students and researchers of financial economics and international finance.
Bank Profitability And Risk Taking
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Author : Natalya Martynova
language : en
Publisher: International Monetary Fund
Release Date : 2015-11-25
Bank Profitability And Risk Taking written by Natalya Martynova and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-25 with Business & Economics categories.
Traditional theory suggests that more profitable banks should have lower risk-taking incentives. Then why did many profitable banks choose to invest in untested financial instruments before the crisis, realizing significant losses? We attempt to reconcile theory and evidence. In our setup, banks are endowed with a fixed core business. They take risk by levering up to engage in risky ‘side activities’(such as market-based investments) alongside the core business. A more profitable core business allows a bank to borrow more and take side risks on a larger scale, offsetting lower incentives to take risk of given size. Consequently, more profitable banks may have higher risk-taking incentives. The framework is consistent with cross-sectional patterns of bank risk-taking in the run up to the recent financial crisis.