Interest Rate Risk in the Banking Book: Management with Discrete-time Affine ℚ Term Structure Models

2019 ◽  
Author(s):  
Andreas Bloechlinger
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Discrete Time ◽  
Interest Rate Risk ◽  
Term Structure Models ◽  
Rate Risk

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.

Hedging Interest Rate Risk with Term Structure Factor Models

2015 ◽  
pp. 267-289
Author(s):  
Lionel Martellini ◽  
Philippe Priaulet ◽  
Frank J. Fabozzi ◽  
Michael Luo
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Structure Factor ◽  
Interest Rate Risk ◽  
Factor Models ◽  
Rate Risk
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