Methods of Measurement and Management of the Interest Rate Risk and Liquidity Risk

2020 ◽  
pp. 23-60
Keyword(s):  
Interest Rate ◽  
Liquidity Risk ◽  
Interest Rate Risk ◽  
Rate Risk ◽  
The Interest Rate ◽  
Methods Of Measurement

scholarly journals Apakah Peningkatan Risiko Likuiditas, Risiko Kredit, dan Risiko Suku Bunga Berdampak Terhadap Profitabilitas Bank?

2021 ◽  
Vol 5 (1) ◽  
pp. 197
Author(s):  
Allifiyani H ◽  
Rinda Siaga Pangestuti
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Quantitative Research ◽  
Stock Exchange ◽  
Investment Decision ◽  
Liquidity Risk ◽  
Interest Rate Risk ◽  
Rate Risk ◽  
Investment Decision Making ◽  
The Interest Rate

Banking performance has decreased on average in terms of credit quality, liquidity, ability to generate net interest income, and profitability in the last two years. This indicates an increase in credit risk, liquidity risk, interest rate risk, and bank profitability risk. This study contributes in providing an explanation regarding banking performance which can lead to a decline in profitability that can influence investment decision making by investors in terms of the performance of the issuer. This research is included in the category of quantitative research with a sample of commercial banks in Indonesia selected based on purposive sampling method. The results of this study indicate that the lower the credit risk the higher the bank's profitability, the higher the interest rate risk the higher the bank's profitability, and the liquidity risk which has a significant positive effect on the performance of banks listed on the Indonesia Stock Exchange in the 2016-2018 period.

Synthesis and Conclusion

2019 ◽  
pp. 443-458
Author(s):  
Alan N. Rechtschaffen
Keyword(s):  
Civil War ◽  
Interest Rate ◽  
Liquidity Risk ◽  
Market Risk ◽  
Interest Rate Risk ◽  
Securities And Exchange Commission ◽  
Confederate States Of America ◽  
Rate Risk ◽  
National Bank

This chapter begins with a synthesis of key themes, covering derivatives, debt instruments, and structured notes. It considers the case study Securities and Exchange Commission v. Goldman, Sachs & Co. & Fabrice Tourre. It then describes the Erlanger “cotton” bonds issued by the Confederate States of America to raise money during the Civil War. This is followed by discussions on range notes, internal leverage and market risk, and risks (interest rate risk, liquidity risk, reinvestment risk). The chapter concludes by describing the bulletin issued by the Office of the Comptroller of the Currency on May 22, 2002, to all national bank CEOs and all federal branches and agencies in regard to risky “yield-chasing” strategies that were returning to the markets.

scholarly journals The Effect of Risks on Banking Safety: Applied Study on Jordanian Traditional Banks (2005-2016)

2017 ◽  
Vol 9 (9) ◽  
pp. 102
Author(s):  
Mohammad Abdel Mohsen Al-Afeef ◽  
Atallah Hassan Al-Ta'ani
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Commercial Banks ◽  
Banking Sector ◽  
Liquidity Risk ◽  
Interest Rate Risk ◽  
Bank Credit ◽  
Applied Study ◽  
Rate Risk ◽  
The Impact

Banking sector is one of the most important sectors that support the sustainable economic development in Jordan, therefore this study aimed to test the impact of risks; (Liquidity risk, bank credit risk and interest rate risk) on the safety in the banking sector in the Jordanian commercial banks during the period 2005-2016.The results of the study showed that there is a statistically significant impact for each of liquidity risk and interest rate risk on the safety in the banking sector, and there isn't statistically significant impact for credit risk on the safety in the banking sector during the period of this study, and also find that the explanatory of model was 60.5%, which means that 39.5% due to other factors.

scholarly journals Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk

2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Anjiao Wang ◽  
Zhongxing Ye
Keyword(s):  
Interest Rate ◽  
Closed Form ◽  
Interest Rate Risk ◽  
Counterparty Risk ◽  
Rate Model ◽  
Change Of Measure ◽  
Market Interest Rate ◽  
Rate Risk ◽  
Interest Rate Model ◽  
The Interest Rate

We study the pricing of total return swap (TRS) under the contagion models with counterparty risk and the interest rate risk. We assume that interest rate follows Heath-Jarrow-Morton (HJM) forward interest rate model and obtain the Libor market interest rate. The cases where default is related to the interest rate and independent of interest rate are considered. Using the methods of change of measure and the “total hazard construction,” the joint default probabilities are obtained. Furthermore, we obtain the closed-form formulas of TRS under different contagion models, respectively.

scholarly journals Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

2009 ◽  
Vol 15 (5) ◽  
pp. 1001-1018 ◽  
Author(s):  
Oliver Entrop ◽  
Marco Wilkens ◽  
Alexander Zeisler
Keyword(s):  
Interest Rate ◽  
Interest Rate Risk ◽  
Rate Risk ◽  
The Interest Rate
Sign in / Sign up

Export Citation Format

Share Document