Interest rate risk
Interest rate risk immunization - the impact of credit risk in the quality of immunization case study: immunization with Portuguese bonds and German bonds
... of the information provided. Based on this interview, we obtained information that allows us to understand the interest rate risk hedging strategy used in IF_A. Since the fall of Lehman Brothers in ...
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Remarks on Interest Rate Risk Management
... Bank interest and interest rate risk management is a contemporary subject and for socio- economic environment of Romania cause serious consequences in the level of economic ...percentage ...
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Are interest rate options important for the assessment of interest rate risk?
... Papers related to our work include Ait Sahalia and Lo (2000), and Egorov et al. (2006). Ait Sahalia and Lo (2000) propose an alternative way to estimate VaR, what they call economic VaR, which consists in obtaining the ...
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Rev. contab. finanç. vol.19 número46
... corpo- rate decision to hedge interest rate ...only interest rate risk hedging ...the interest rate risk ex- posures being ...porate interest ...
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Do options contain information about excess bond returns ?
... both interest rates and interest rate op- tions in estimation have focused on accurately pricing both interest rates and ...of interest rate risk ...of interest ...
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Asynnnetric smiles, leverage effects and structural parameters
... We have shown that two kinds of "generalized" leverage effects mayex- plain (besides the interest rate risk) asymmetric smiles: either a genuine leverage effect, that is [r] ...
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UNIVERSIDADE TÉCNICA DE LISBOA INSTITUTO SUPERIOR DE ECONOMIA E GESTÃO
... Chou et al. (2009) extend the approach of Fink et al. (2005) by employing a more accurate estimation of the yield curve parameters to determine a time-varying hedge ratio. Authors analyze the impact of term structure ...
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Interest rate swaps: practical issues, corporate use and regulation
... 4 behaviour that aims to maximize a firm’s value. They considered: taxes, contracting costs and the hedging impact on the company investment decisions. The authors concluded that a firm that attempts to maximise its ...
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Quantitative impact of the application of the Matching Adjustment in the Portuguese market
... the interest rate and the concentration sub-modules, although in the case of the concentration sub-module, the sale would be likely immaterial and reduce the capital ...the interest rate ...
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Book Review - Treasury Management in Medium-Sized Banks
... liquidity risk, interest rate risk, share price risk, real estate risk, currency risk, risk resulting from options, credit risk and inflation ...a ...
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Rev. Bras. Econ. vol.59 número1
... high interest rates practiced by the Brazilian central bank prompted capital ...exchange rate from appreciating, capital controls were imposed on capital inflows, as showed by Garcia and Valpassos ...the ...
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Monetary policy monitor,ano 2, nº 4, September 2014
... real rate of interest, what economists have in mind is the real return on short-term assets considered to be safe, as US Treasury bills, for ...basic interest rate in the US, since he ...
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EFFECTS OF INTEREST RATE DEREGULATION ON AGRICULTURAL FINANCE AND GROWTH IN NIGERIA
... Recently the sector had undergone significant changes in terms of the policy environment, number of institutions, ownership structure, depth and breadth of markets, as well as in the regulatory framework. These changes ...
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Exchange rate dynamics in Brazil
... exchange rate regime after an intensive financial ...high interest rate in order to defend the exchange ...exchange rate regime can be translated into Robert Mundell´s criteria for an Optimum ...
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C RISE DAD ÍVIDAS OBERANA DE 2011 EA
... feito para a variável IDE, uma vez que também apresenta correlações positivas com todas as restantes variáveis independentes exceto Central Government Debt e Solvency Ratio. A variável Rendibilidade Operacional apresenta ...
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A classroom experiment on banking
... average interest rate firms paid households rose from 11% in the first period to 17% and 20% in the second and third ...medium) risk, by pointing to the fact that a bank had given them a low (or ...
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Spread trading strategy for intraday short term interest rate futures markets
... any interest rate movement does condition the economies and entire ...other interest rate ...underlying interest rates and market expectations for their future levels which helps ...
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Monetary transmission mechanisms: Portuguese comparison before and after joining the Euro, with Poland as a counter-factual
... variable changed just because of the intervention of monetary authority, having into account that the monetary authority might have just been responding to that shock. The following example can illustrate this problem, ...
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US real interest rates and default risk in emerging economies
... real interest rates on the risk of default (EMBI+ ...the interest rate, for example, when default risk falls and in response investors switch demand from safe Treasury assets to ...
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Monetary policy, default risk and the exchange rate
... higher interest rates can lead to currency depreciations, we need to present some empirical ...the interest rate and variations in the exchange rate ...
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