Interest rate volatility: understanding, analyzing, and managing interest rate risk and risk-based capital
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chicago [u.a.]
Irwin
1996
|
| Schriftenreihe: | A BankLine publication
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIII, 175 S. graph. Darst. |
| ISBN: | 1557387680 |
Internformat
MARC
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| 245 | 1 | 0 | |a Interest rate volatility |b understanding, analyzing, and managing interest rate risk and risk-based capital |c Gerald A. Hanweck ; Bernard Shull |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Preface xi
Chapter One:
INTRODUCTION 1
Preliminary Definition of Interest Rate and Related
Risks 2
Recent Banking Problems and Changes in Law 3
Proposals for Regulating Interest Rate Risk 9
Purpose and Scope of Book 12
Chapter Two:
INTEREST RATE FLUCTUATIONS AND
PUBLIC POLICY IN PERSPECTIVE 19
Earlier Interest Rate Concerns 19
Depression Concerns and Thereafter 21
Interest Rates and the Revival of
Monetary Policy 22
Emergence of Interest Rate Risk:
Disintermediation 24
Commercial Bank Comparisons 28
Why Was Interest Rate Risk Ignored for So Long? 29
Conclusions 32
Chapter Three:
CAPITAL REQUIREMENTS AND INTEREST
RATE RISK: THE RESPONSE OF PUBLIC
POLICY 35
The Purposes of Bank Capital 35
The Secular Decline in Bank Capital Ratios 37
The Traditional Regulatory Evaluation of Capital 41
Increasing Concern about Declining Ratios
in the 1970s 43
vii
viii Contents
New Capital Requirements in the Early 1980s 45
Risk Adjusted Ratios 47
Interest Rate Risk and Capital Requirements 50
Conclusions 52
Chapter Four:
MEASURING INTEREST RATE RISK 59
Duration Analysis 60
Portfolio Relationships and Duration Measures 73
The Value at Risk (VaR) Measure of
Interest Rate Risk 77
Office of Thrift Supervision Measures 84
A Critique of the Measures and Conclusions 84
APPENDIX 86
Chapter Five:
MODELING THE IMPACT OF
INTEREST RATE RISK 93
Modeling Methodologies: The Federal Banking
Agencies Approach 93
Alternative Approaches 99
Conclusions 111
APPENDIX A 112
APPENDIX B 112
Chapter Six:
THE REGULATION OF INTEREST RATE RISK:
PRACTICAL PROBLEMS AND POLICY ISSUES 125
Congressional Intent, the 1993 Proposal, and the
1995 Final Rule 125
Alternatives 134
Conclusions: Unfinished Business 148
APPENDIX 149
Contents ix
Chapter Seven:
THE FUTURE OF INTEREST RATE RISK:
FINDINGS AND PROSPECTS 157
Review of Findings 158
What Should Banks and the Agencies Do? 162
The Future of Interest Rate Volatility, Interest Rate
Risk, and Regulatory Concerns 164
Final Comments 166
|
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| geographic_facet | USA |
| id | DE-604.BV010802657 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:59:09Z |
| institution | BVB |
| isbn | 1557387680 |
| language | English |
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| physical | XIII, 175 S. graph. Darst. |
| publishDate | 1996 |
| publishDateSearch | 1996 |
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| publisher | Irwin |
| record_format | marc |
| series2 | A BankLine publication |
| spelling | Hanweck, Gerald A. Verfasser aut Interest rate volatility understanding, analyzing, and managing interest rate risk and risk-based capital Gerald A. Hanweck ; Bernard Shull Chicago [u.a.] Irwin 1996 XIII, 175 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier A BankLine publication Interest rate risk Bank (DE-588)4004436-1 gnd rswk-swf Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf USA (DE-588)4078704-7 g Zinsänderungsrisiko (DE-588)4067851-9 s Bank (DE-588)4004436-1 s DE-604 Shull, Bernard Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007216555&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hanweck, Gerald A. Shull, Bernard Interest rate volatility understanding, analyzing, and managing interest rate risk and risk-based capital Interest rate risk Bank (DE-588)4004436-1 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd |
| subject_GND | (DE-588)4004436-1 (DE-588)4067851-9 (DE-588)4078704-7 |
| title | Interest rate volatility understanding, analyzing, and managing interest rate risk and risk-based capital |
| title_auth | Interest rate volatility understanding, analyzing, and managing interest rate risk and risk-based capital |
| title_exact_search | Interest rate volatility understanding, analyzing, and managing interest rate risk and risk-based capital |
| title_full | Interest rate volatility understanding, analyzing, and managing interest rate risk and risk-based capital Gerald A. Hanweck ; Bernard Shull |
| title_fullStr | Interest rate volatility understanding, analyzing, and managing interest rate risk and risk-based capital Gerald A. Hanweck ; Bernard Shull |
| title_full_unstemmed | Interest rate volatility understanding, analyzing, and managing interest rate risk and risk-based capital Gerald A. Hanweck ; Bernard Shull |
| title_short | Interest rate volatility |
| title_sort | interest rate volatility understanding analyzing and managing interest rate risk and risk based capital |
| title_sub | understanding, analyzing, and managing interest rate risk and risk-based capital |
| topic | Interest rate risk Bank (DE-588)4004436-1 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd |
| topic_facet | Interest rate risk Bank Zinsänderungsrisiko USA |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007216555&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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