Scenario Generation for Long-Run Interest Rate Risk Assessment

2016 ◽  
Author(s):  
Robert F. Engle ◽  
Guillaume Roussellet
Keyword(s):  
Risk Assessment ◽  
Interest Rate ◽  
Interest Rate Risk ◽  
Scenario Generation ◽  
Rate Risk ◽  
Long Run

Scenario generation for long run interest rate risk assessment

2017 ◽  
Vol 201 (2) ◽  
pp. 333-347 ◽  
Author(s):  
Robert Engle ◽  
Guillaume Roussellet ◽  
Emil Siriwardane
Keyword(s):  
Risk Assessment ◽  
Interest Rate ◽  
Interest Rate Risk ◽  
Scenario Generation ◽  
Rate Risk ◽  
Long Run

Yield Elasticity: A New, Objective Measure of Interest-Rate Risk

CFA Digest ◽  
2007 ◽  
Vol 37 (4) ◽  
pp. 27-28
Author(s):  
Brian A. Maris
Keyword(s):  
Interest Rate ◽  
Objective Measure ◽  
Interest Rate Risk ◽  
Rate Risk

Balance-sheet interest rate risk: a weighted Lp approach

2018 ◽  
Vol 21 (1) ◽  
pp. 91-104 ◽  
Author(s):  
Leslaw Gajek ◽  
Elzbieta Krajewska
Keyword(s):  
Interest Rate ◽  
Balance Sheet ◽  
Interest Rate Risk ◽  
Rate Risk

Liquidity and Interest Rate Risk of Life Insurers: Sources and Mitigation

2016 ◽  
Author(s):  
Mark Feodoria ◽  
Till FFrstemann
Keyword(s):  
Interest Rate ◽  
Interest Rate Risk ◽  
Life Insurers ◽  
Rate Risk

How Do Banks and Households Manage Interest Rate Risk? Evidence from Mortgage Applications and Bankss Responses

2018 ◽  
Author(s):  
Christoph Basten ◽  
Benjamin Guin ◽  
Catherine Koch
Keyword(s):  
Interest Rate ◽  
Interest Rate Risk ◽  
Rate Risk

Callable Bonds, Interest-Rate Risk, and the Supply Side of Hedging

2004 ◽  
Author(s):  
Levent Guntay ◽  
Nagpurnanand R. Prabhala ◽  
Haluk Unal
Keyword(s):  
Interest Rate ◽  
Interest Rate Risk ◽  
Supply Side ◽  
Callable Bonds ◽  
Rate Risk
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