Interest Rate Risk Models

Released on by Anthony G. Cornyn
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  • Interest Rate Risk Models Book Detail

  • Author : Anthony G. Cornyn
  • Release Date : 1997
  • Publisher : Global Professional Publishi
  • Genre : Business & Economics
  • Pages : 458
  • ISBN 13 : 9781888998047
  • File Size : 82,82 MB
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Interest Rate Risk Models by Anthony G. Cornyn PDF Summary

Book Description: � Practical guide for asset-liability managers faced with the decision as to whether to build or buy a financial model � Topics include modeling cash flows, net investment income versus net portfolio value, projections of interest rates, and volatility A guide for asset-liability managers and other investment professionals who are faced with the decision of whether to build or buy a financial model to measure, monitor, and help manage their institution's risk exposure. It reviews the evolution of interest rate risk models and evaluates the state-of-the-art models in use. Includes Modeling cash flows; modeling the term structure; OAS technology; net interest income versus net portfolio value; build versus buy analysis; practical methods for deriving input assumptions; prepayment rates; deposit decay rates; projections of interest rate and volatility.

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