Interest rate risk measurement and management:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
New York, NY
Institutional Investor
1999
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | X, 580 S. graph. Darst. |
| ISBN: | 0961944692 |
Staff View
MARC
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| 245 | 1 | 0 | |a Interest rate risk measurement and management |c ed. by Sanjay K. Nawalkha |
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| 650 | 4 | |a Interest rate risk | |
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| 700 | 1 | |a Nawalkha, Sanjay K. |e Sonstige |4 oth | |
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Record in the Search Index
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| adam_text | CONTENTS
INTRODUCTION: Interest Rate Risk Measurement and Management: An Overview . . ix
Sanjay K. Nawalkha and Donald R. Chambers
PART I: SINGLE AND MULTIPLE FACTOR INTEREST RATE
RISK MODELS
1.1 First Order Duration Risk Measures 1
1. Duration Sixty Years Later 3
Sanjay K. Nawalkha
2. How Well Does Duration Measure Interest Rate Risk? 18
Antti llmanen
3. Measuring the Duration of an Internationally Diversified Bond Portfolio 29
Lee Thomas and Ram Willner
4. A Rebalancing Discipline for an Immunization Strategy 38
Sang Bin Lee and He Youn Cho
5. An Improved Immunization Strategy: M Absolute 46
Sanjay K. Nawalkha and Donald R. Chambers
1.2 Second Order Duration Risk Measures 56
6. Convexity and Exceptional Return 57
Ronald N. Kahn and Roland Lochojf
1. Convexity, Risk, and Returns 64
Nelson J. Lacey and Sanjay K. Nawalkha
8. Duration, Convexity, and Time Value 73
Peter Ove Christensen and Bjarne G. S0rensen
1.3 Higher Order Duration Risk Measures and Other Multifactor Interest Rate
Risk Models 86
9. Immunizing Default Free Bond Portfolios with a Duration Vector 88
Donald R. Chambers, Willard T. Carleton, and Richard W. McEnally
10. The M Vector Model: Derivation and Testing of Extensions to A/ Square 102
Sanjay K. Nawalkha and Donald R. Chambers
11. Common Factors Affecting Bond Returns 110
Robert Litterman and Jose Scheinkman
12. Managing Yield Curve Exposure: Introducing Reshaping Durations 120
Thomas E. Klajfky, Y.Y. Ma, and Ardavan Nozari
13. Yield Curve Shifts and the Selection of Immunization Strategies 129
W. Brian Barrett, Thomas E Gosnell, Jr., and Andrea J. Heuson
v
vi CONTENTS
PART II: INTEREST RATE RISK MODELS FOR FIXED INCOME
DERIVATIVE SECURITIES
2.1 Interest Rate Risk Models for General Interest Rate Contingent Claims .... 147
14. Key Rate Durations: Measures of Interest Rate Risks 149
Thomas S.Y. Ho
15. Measuring Yield Curve Risk Using Principal Components Analysis, Value at Risk,
and Key Rate Durations 171
Bennett W. Golub and Leo M. Tilman
16. VAR Analytics: Portfolio Structure, Key Rate Convexities, and VAR Betas 188
Thomas S.Y. Ho, Michael Z.H. Chen, and Fred H.T. Eng
17. Delta, Gamma and Bucket Hedging of Interest Rate Derivatives 199
Robert A. Jarrow and Stuart M. Turnbull
18. The Risk Point Method for Measuring and Controlling Yield Curve Risk 224
Ravi E. Dattatreya and Frank J. Fabozzi
19. The Duration Vector: A Continuous Time Extension to Default Free Interest Rate
Contingent Claims 237
Sanjay K. Nawalkha
20. An Immunization Strategy for Futures Contracts on Government Securities 253
Donald R. Chambers
21. A New Tool for Portfolio Managers: Level, Slope, and Curvature Durations .... 266
Ram Willner
2.2 Interest Rate Risk Models for Mortgage Backed Securities 280
22. Effective Durations for Mortgage Backed Securities: Recipes for Improvement . . 281
Sam Choi
23. Mortgage Hedge Ratios: Which One Works Best? 291
Laurie S. Goodman and Jeffrey Ho
24. Effective and Empirical Durations of Mortgage Securities 305
Lakhbir Hayre and Hubert Chang
25. Beyond Duration: Risk Dimensions of Mortgage Securities 327
Michael Waldman
26. Convexity and Empirical Option Costs of Mortgage Securities 343
Douglas T. Breeden
27. Prepayment Convexity and Duration 377
Andy Sparks and Feikeh Sung
2.3 Interest Rate Risk Models for Default Prone Corporate Bonds 384
28. The Value of Duration as a Risk Measure for Corporate Debt 385
Antti llmanen, Donald McGuire, and Arthur Warga
29. A Contingent Claims Analysis of the Interest Rate Risk Characteristics of Corporate
Liabilities 393
Sanjay K. Nawalkha
CONTENTS vii
30. Statistical Duration: A Spread Model of Rate Sensitivity Across Fixed Income
Sectors 408
Martin L. Leibowitz, Stanley Kogelman, and Lawrence N. Bader
2.4 Interest Rate Risk Models for Floating Rate Securities with Embedded Options 422
31. The Pricing and Duration of Floating Rate Bonds 423
Jess Yawitz, Thomas Macirowski, Howard Kaufold, and Michael Smirlock
32. Measuring the Duration of a Floating Rate Bond 435
John D. Finnerty
33. Evaluation and Hedging of Interest Rate Caps in Floating Rate Mortgages 444
Rajiv Sobti and George Sykes
34. Pricing and Duration of Floaters and Interest Rate Swaps with Embedded Options . 461
Sanjay K. Nawalkha, Jun Zhang, and Donald R. Chambers
PART III: INTEREST RATE RISK MODELS FOR FINANCIAL
INSTITUTIONS AND REGULATORS
3.1 Interest Rate Risk Models for Depository Institutions and the FDIC 475
35. Duration Gaps with Futures and Swaps for Managing Interest Rate Risk at
Depository Institutions 477
Gerald O. Bierwag and George G. Kaufman
36. Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulatory Implications 492
Jin Chuan Duan, Arthur F. Moreau, and C.W. Sealey
37. An Overview of the OTS Net Portfolio Value Model and Recent Trends in the Thrift
Industry 505
Anthony G. Cornyn and Jonathan D. Jones
3.2 Interest Rate Risk Models for Insurance Companies and Pension Funds .... 518
38. The Duration of Surplus 519
Thomas E. Messmore
39. Pension Asset Allocation Through Surplus Management 524
Martin L. Leibowitz
40. Asset Allocation Under Liability Uncertainty 538
Martin L. Leibowitz, Lawrence N. Bader, and Stanley Kogelman
SUBJECT INDEX 557
BIOGRAPHY 569
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| id | DE-604.BV014751995 |
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| indexdate | 2024-07-09T19:05:50Z |
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| isbn | 0961944692 |
| language | English |
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| physical | X, 580 S. graph. Darst. |
| publishDate | 1999 |
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| spelling | Interest rate risk measurement and management ed. by Sanjay K. Nawalkha New York, NY Institutional Investor 1999 X, 580 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell Interest rate risk Interest rate risk Mathematical models Nawalkha, Sanjay K. Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009993497&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Interest rate risk measurement and management Mathematisches Modell Interest rate risk Interest rate risk Mathematical models |
| title | Interest rate risk measurement and management |
| title_auth | Interest rate risk measurement and management |
| title_exact_search | Interest rate risk measurement and management |
| title_full | Interest rate risk measurement and management ed. by Sanjay K. Nawalkha |
| title_fullStr | Interest rate risk measurement and management ed. by Sanjay K. Nawalkha |
| title_full_unstemmed | Interest rate risk measurement and management ed. by Sanjay K. Nawalkha |
| title_short | Interest rate risk measurement and management |
| title_sort | interest rate risk measurement and management |
| topic | Mathematisches Modell Interest rate risk Interest rate risk Mathematical models |
| topic_facet | Mathematisches Modell Interest rate risk Interest rate risk Mathematical models |
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