scholarly journals Choice of Interest Rate Term Structure Models for Assets and Liability Management

2008 ◽  
Author(s):  
Zhenke Guan ◽  
Bing Gan ◽  
Aisha Khan ◽  
Ser-Huang Poon
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Term Structure Models ◽  
Liability Management ◽  
Interest Rate Term Structure

The use of Bayes factors to compare interest rate term structure models

2013 ◽  
Vol 13 (3) ◽  
pp. 369-381
Author(s):  
W. Keener Hughen ◽  
Carmelo Giaccotto ◽  
Po-Hsuan Hsu
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Bayes Factors ◽  
Term Structure Models ◽  
Interest Rate Term Structure

Choice of Interest Rate Term Structure Model for Assets and Liability Management

2008 ◽  
Author(s):  
Zhenke Guan ◽  
Bing Gan ◽  
Aisha Khan ◽  
Ser-Huang Poon
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Structure Model ◽  
Term Structure Model ◽  
Liability Management ◽  
Interest Rate Term Structure

scholarly journals Measuring Interest Rate Risk with Embedded Option Using HPL-MC Method in Fuzzy and Stochastic Environment

2020 ◽  
Vol 2020 ◽  
pp. 1-13
Author(s):  
Enlin Tang ◽  
Wei Du
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Interest Rate Risk ◽  
Extended Model ◽  
Term Structure Model ◽  
Continuous Innovation ◽  
Liability Management ◽  
Rate Risk ◽  
Embedded Options

Under the condition of continuous innovation of financial derivatives and marketization of interest rate, interest rates fluctuate more frequently and fiercely, and the measurement of interest rate risk also attracts more attention. Under the premise that the fluctuation of interest rate follows fuzzy stochastic process, based on the option characteristics of financial instruments with embedded option, this paper takes effective duration and effective convexity as tools to measure interest rate risk when embedded options exist, tries to choose CIR extended model as term structure model, and uses the Monte Carlo method for hybrid low deviation sequences (HPL-MC) to analyze the prepayment characteristics of MBS, a representative financial instrument with embedded options, when interest rates fluctuate; on this basis, the effectiveness of effective duration management of interest rate risk is demonstrated with asset liability management cases of commercial banks.

Fuzzy Interest Rate Term Structure Equation

2020 ◽  
Vol 22 (3) ◽  
pp. 999-1006
Author(s):  
Le Bo ◽  
Cuilian You
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Structure Equation ◽  
Interest Rate Term Structure
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