This handbook explains how to understand, identify, measure, report and account for interest rate risk, and how to use the main market instruments to manage the risk identified. Instruments analyzed include forward rate agreements, interest rate futures, single and cross currency interest rate swaps, government bonds, interest rate options including caps, floors, and swaptions, foreign exchange swaps, and medium-term forward foreign exchange. The book also addresses the additional issues faced by banks in interest rate risk management due to the regulatory environment and because of their need to allocate cost and revenues to different responsibility centres. The scope of the book is international. Detailed formulae are included for pricing and risk management of interest rate options. Extensive worked examples are provided. Also available separately is a disk containing spreadsheets which perform many of the more complex calculations described in the text of the handbook. The disk is accompanied by an explanatory booklet.
Sprache
Verlagsort
Verlagsgruppe
Kluwer Academic Publishers Group
Zielgruppe
Für höhere Schule und Studium
Für Beruf und Forschung
Illustrationen
Maße
ISBN-13
978-1-85333-741-3 (9781853337413)
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Schweitzer Klassifikation
Part 1 Interest rate risk measurement and management: present valuing; the term structure of interest rates; interest rate risk. Part 2 Forward rate agreements and Eurodeposit futures. Part 3 Single currency interest rate swaps: interest rate swaps; pricing complex interest rate swaps - theory and practice. Par 4 Basis risk: government bonds and other types of basis risk; interest rate options; general options; option pricing formulae. Part 5 Interest rate options; exact pricing; risk management. Part 6 Cross currency interest rate risk management; foreign exchange swaps; cross currency swaps; medium term foreign exchange. Part 7 Reporting risk.
