The Price And Quantity Of Interest Rate Risk

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The Price And Quantity Of Interest Rate Risk

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Author : Jennifer N. Carpenter
language : en
Publisher:
Release Date : 2021

The Price And Quantity Of Interest Rate Risk written by Jennifer N. Carpenter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.

Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to interpret. We propose a new approach to modeling bond risk and risk premia. For each of the US and China, we reduce the government bond market to its first two principal-component bond-factor portfolios. For each bond-factor portfolio, we estimate the joint dynamics of its volatility and Sharpe ratio as functions of yield curve variables, and of VIX in the US. We have three main findings. (1) There is an important second factor in bond risk premia. (2) Time variation in bond return volatility is as important as time variation in bond Sharpe ratios. (3) Bond risk premia are solely compensation for bond risk, as no-arbitrage theory predicts. Our approach also allows us to document interesting cyclical and secular time-variation in the term structure of bond risk premia in both the US and China.

A Guide To Managing Interest Rate Risk

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Author : Donna M. Howe
language : en
Publisher: Prentice Hall
Release Date : 1992

A Guide To Managing Interest Rate Risk written by Donna M. Howe and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Business & Economics categories.

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.

Understanding And Managing Interest Rate Risks

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Author : Ren-Raw Chen
language : en
Publisher: World Scientific
Release Date : 1996

Understanding And Managing Interest Rate Risks written by Ren-Raw Chen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.

The book is a systematic summary of modern term structure theories and how interest rate contingent claims are priced under such theories. This is the first book on such an attempt. The book reviews important term structure models and chooses one model to consistantly demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also provides a complete process of model implementation from parameter estimation to hedging. Examples are provided throughout.

The Market For Sharing Interest Rate Risk Quantities Behind Prices

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Author : Umang Khetan
language : en
Publisher:
Release Date : 2023

The Market For Sharing Interest Rate Risk Quantities Behind Prices written by Umang Khetan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with 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 And Banks

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Author : Edward P. M. Gardener
language : en
Publisher:
Release Date : 1987

Interest Rate Risk And Banks written by Edward P. M. Gardener and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Analysis of variance categories.

Duration Analysis

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Author : Gerald O. Bierwag
language : en
Publisher:
Release Date : 1987

Duration Analysis written by Gerald O. Bierwag and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Bonds categories.

Interest Rate Volatility And The Size Of The Financial Sector

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Author : Gregory Alan Krohn
language : en
Publisher:
Release Date : 1985

Interest Rate Volatility And The Size Of The Financial Sector written by Gregory Alan Krohn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Interest rates categories.

Measuring And Controlling Interest Rate And Credit Risk

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Author : Frank J. Fabozzi
language : en
Publisher: Wiley
Release Date : 2003-09-24

Measuring And Controlling Interest Rate And Credit Risk written by Frank J. Fabozzi and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-09-24 with Business & Economics categories.

Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange-traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position. Measuring and Controlling Interest Rate and Credit Risk is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart, defining and illustrating interest rate risk and credit risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments discussed include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds; and find in-depth, up-to-date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging. Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University?s School of Management. Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance services in London. Moorad Choudhry (Surrey, England) is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management. He has authored a number of books on fixed income analysis and the capital markets. Moorad began his City career with ABN Amro Hoare Govett Sterling Bonds Limited, where he worked as a gilt-edged market maker, and Hambros Bank Limited where he was a sterling proprietary trader. He is currently a vice-president in Structured Finance Services with JPMorgan Chase Bank in London.