Interest rate risk models: theory and practice
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Chicago [u.a.]
Glenlake Publ. Co. [u.a.]
1997
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 434 S. graph. Darst. |
| ISBN: | 1884964729 1888998040 |
Internformat
MARC
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-007842225 | ||
Datensatz im Suchindex
| _version_ | 1804126169148162049 |
|---|---|
| adam_text | CONTENTS
PREFACE vii
CONTRIBUTORS ix
part I: Introduction to Interest Rate Risk Modeling
1. Financial Modeling—What It Is and What the Risks Are, 3
Donald R. Moscato
2. The Evolution of Interest Rate Risk Models, 15
William }. McGuire
3. Interest Rate Risk Measurement: Modeling Key Product
Characteristics, 29
AM K. Dholakia
4. Organizational Issues in Financial Modeling, 41
Donald R. Moscato
5. The Integration of Time Series Analysis and Term Structure
Modeling, 51
Ani Sanyal
PART II: Model Building for Specific Industries and Applications
6. Measuring Interest Rate Risk in a Commercial Bank, 75
AM K. Dholakia
7. Analyzing and Modeling Core Deposit Behavior for Business Plan
Evaluation and IRR Assessment, 91
William J. McGuire
8. Modeling Core Deposits: The Commerce Bank Methodology, 109
William ]. McGuire and T. Jamie Neivell
9. Interest Rate Risk Modeling at a COFI Based Thrift Institution, 147
Marangal I. Domingo, Jr.
10. OAS Modeling of Fixed Rate Pass Throughs: Implementational
Issues, 161
Jeffrey Ho
11. Modeling Reverse Mortgages, 201
Thomas P. Boehm and Michael C. Ehrhardt
v
Vi Contents
12. Modeling Adjustable Rate Mortgages, 219
Yung C. him
13. Modeling Mortgage Service Rights, 237
Robert N. Husted, Jr. and Paul T. Van Valkenburg
PART III: Regulatory Models and Perspectives
14. Interest Rate Exposure in the S L Industry: Results from the OTS
Net Portfolio Value Model, 253
Elizabeth Mays
15. Evaluating the Interest Rate Risk Measurement Processes of
Commercial Banks, 279
Jerry Hinkle
16. Savings and Loan Interest Rate Risk Models: An Examiner s
Perspective, 295
Christopher Dickerson
part IV: Off The Shelf Interest Rate Risk Models
17. Criteria for Evaluating Third Party IRR Solutions (Why the Model
Doesn t Matter), 309
Deborah L. Williams
18. The BankWare Model, 323
William E. Popp
19. Kamakura Risk Manager, TSER/OAV, and Global Trader, 331
Donald R. van Deventer and Jonathan W. Levin
20. Olson Financial Planning Model, 353
Kurt Schneckenburger
21. The Quantitative Risk Management Solution: Combining Traditional
Balance Sheet Analysis with State of the Art Techniques, 383
Steve Rigsbee, Sirri Ayaydin, and Charles Richard 111
22. Sendero A/L: Advanced Technology for Better Balance Sheet
Decisions, 413
Elaine Halliday
APPENDIX: List of Vendors of Asset/Liability Software Models 429
INDEX 432
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| id | DE-604.BV011636644 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:13:10Z |
| institution | BVB |
| isbn | 1884964729 1888998040 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007842225 |
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| physical | XV, 434 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Glenlake Publ. Co. [u.a.] |
| record_format | marc |
| spelling | Interest rate risk models theory and practice Anthony G. Cornyn ... ed. Chicago [u.a.] Glenlake Publ. Co. [u.a.] 1997 XV, 434 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell Interest rate risk Mathematical models Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Zinsänderungsrisiko (DE-588)4067851-9 s DE-604 Cornyn, Anthony G. Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007842225&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Interest rate risk models theory and practice Mathematisches Modell Interest rate risk Mathematical models Zinsänderungsrisiko (DE-588)4067851-9 gnd |
| subject_GND | (DE-588)4067851-9 |
| title | Interest rate risk models theory and practice |
| title_auth | Interest rate risk models theory and practice |
| title_exact_search | Interest rate risk models theory and practice |
| title_full | Interest rate risk models theory and practice Anthony G. Cornyn ... ed. |
| title_fullStr | Interest rate risk models theory and practice Anthony G. Cornyn ... ed. |
| title_full_unstemmed | Interest rate risk models theory and practice Anthony G. Cornyn ... ed. |
| title_short | Interest rate risk models |
| title_sort | interest rate risk models theory and practice |
| title_sub | theory and practice |
| topic | Mathematisches Modell Interest rate risk Mathematical models Zinsänderungsrisiko (DE-588)4067851-9 gnd |
| topic_facet | Mathematisches Modell Interest rate risk Mathematical models Zinsänderungsrisiko |
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