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Academic literature on the topic 'Interest rate risk Australia'

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Published: 10 December 2022
Last updated: 29 January 2023

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Journal articles on the topic "Interest rate risk Australia"

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Carneiro, Luiz Augusto Ferreira, and Michael Sherris. "Corporate interest rate risk management with derivatives in Australia: empirical results." Revista Contabilidade & Finanças 19, no. 46 (April 2008): 86–107. http://dx.doi.org/10.1590/s1519-70772008000100008.

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Yong, Jaime, and Abhay Singh. "Interest rate risk of Australian REITS: A panel analysis." Pacific Rim Property Research Journal 21, no. 1 (January 2, 2015): 77–88. http://dx.doi.org/10.1080/14445921.2015.1026191.

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Schulze, Gordon. "Carry Trade Returns and Segmented Risk Pricing." Atlantic Economic Journal 49, no. 1 (March 2021): 23–40. http://dx.doi.org/10.1007/s11293-021-09698-2.

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AbstractThe returns to carry trades are controversially discussed. There seems to be no unifying risk-based explanation of currency returns and stock returns, while the countries’ interest rate differential plays a leading part in the carry-trade performance. Therefore, this paper addresses carry-trade returns from a risk-pricing perspective and examines if these returns can be connected to cross-country differences in risk pricing in the interest-rate market compared to the stock market. Data from Thomson Reuters Datastream and Federal Reserve Economic Data covering Australia, Japan, New Zealand, Switzerland and the United States were analyzed based on GMM estimation. The results indicate significant and persistent cross-country differences in risk aversion in the interest-rate market compared to the implied risk aversion in the stock market. This may offer opportunities for risk arbitrage and, therefore, a risk pricing-related explanation of carry-trade returns.
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Liu, Ming-Hua, Dimitris Margaritis, and Zhuo Qiao. "The Global Financial Crisis and Retail Interest Rate Pass-Through in Australia." Review of Pacific Basin Financial Markets and Policies 19, no. 04 (December 2016): 1650026. http://dx.doi.org/10.1142/s0219091516500260.

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In this paper, we examine the impact of the global financial crisis (GFC) on the interest rate pass-through for four types of loans in Australia: mortgages, residentially secured small business lending, nonsecured small business lending and personal loans. Australia is an interesting case study since its central bank lowered but also raised interest rates during the GFC. We find that after the onset of the crisis, there has been a shift in the way banks adjust their lending rates in response to changes in market interest rates; the markup has increased and there has been a drop in both short- and long-term pass-through from funding costs to lending rates. Closer analysis indicates that the drop in short-term pass-through is due to the slower response of banks to increases in funding costs. We also find asymmetries in the way banks adjust lending rates in relation to funding costs in the long-run for nonsecured small business lending and personal loans. The evidence shows that banks in Australia tightened lending standards and competed less aggressively for loans but more for deposits in response to heightened default risks following the global financial crisis. The wider margin allows banks to adjust their lending rates more slowly and asymmetrically.
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Wakelin-King, Gordon. "Highlights and trends in exploration 2009." APPEA Journal 50, no. 1 (2010): 113. http://dx.doi.org/10.1071/aj09008.

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2009 saw an overall decrease from high activity from 2008, levelling off in the December quarter as the economy stabilised. Unsurprisingly, most activity was in offshore Western Australia and on coal seam methane (CSM) in Queensland. Highlights include: good results in the Carnarvon and Browse basins for Western Australian operators, interest in Karoon and Conoco-Phillips’ enigmatic Poseidon project, over 180 CSM exploration wells in Queenslandd, and a relatively busy year for Tasmania. Western Australian seismic acquisition approached 10,000 km of 2D and 25,000 km2 of 3D for 38* wells and success rate around 50%. South Australia saw the highest conventional onshore drilling and seismic activity, with good results for 17 wells, while other states saw low activity in this sector. Victoria saw one offshore exploration well and no seismic. Tasmania also saw no new seismic, but saw four exploration wells and encouragement at Rockhopper–1. CSM is picking up in South Australia, and New South Wales saw continued high CSM activity in a historically low-activity region. High success rates suggest two trends: explorers finding value in 3D seismic, and a ‘flight to quality’ as operating costs and poorer access to capital reinforce risk aversion among operators. Elsewhere, geothermal energy helped small cap investors satisfy their appetite for risk outside of the petroleum industry, and results will be watched with great interest. *Numbers are from early public and departmental statistics and may be revised.
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SKULL, S. A., P. S. MORRIS, A. YONOVITZ, R. G. ATTEWELL, V. KRAUSE, A. J. LEACH, A. ANAND, J. SCOTT, S. REID, and L. A. ROBERTS. "Middle ear effusion: rate and risk factors in Australian children attending day care." Epidemiology and Infection 123, no. 1 (August 1999): 57–64. http://dx.doi.org/10.1017/s0950268899002708.

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There have been no previous longitudinal studies of otitis media conducted in non-Aboriginal Australian children. This paper describes the rate and risk factors for middle ear effusion (MEE) in children attending day care in Darwin, Australia. A prospective cohort study of 252 children under 4 years was conducted in 9 day care centres over 12 fortnights between 24 March and 15 September 1997. Tympanometry was conducted fortnightly and multivariate analysis used to determine risk factors predicting MEE. The outcome of interest was the rate of type B tympanograms per child detected in either ear at fortnightly examinations. After adjusting for clustering by child, MEE was detected on average 4·4 times in 12 fortnights (37% of all examinations conducted). Risk factors associated with presence of effusion were younger age, a family history of ear infection, previous grommets (tympanostomy tubes), ethnicity and the day care centre attended. A history of wheeze appeared protective. These effects were modest (RR 0·57–1·70). Middle ear effusion is very common in children attending day care in Darwin. This has clinical importance, since MEE during early childhood may affect optimal hearing, learning and speech development. There is little scope for modification for many of the risk factors for MEE predicted by this model. Further study of the day care environment is warranted.
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Nguyen, Thang Cong, Tan Ngoc Vu, Duc Hong Vo, and Michael McAleer. "Systematic Risk at the Industry Level: A Case Study of Australia." Risks 8, no. 2 (April 13, 2020): 36. http://dx.doi.org/10.3390/risks8020036.

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The cornerstone of the capital asset pricing model (CAPM) lies with its beta. The question of whether or not beta is dead has attracted great attention from academics and practitioners in the last 50 years or so, and the debate is still ongoing. Many empirical studies have been conducted to test the validity of beta within the framework of CAPM. However, it is a claim of this paper that beta at the industry level has been largely ignored in the current literature. This study is conducted to examine if beta, proxied for a systematic risk, should be considered valid in the application of the CAPM at the industry level for Australia using daily data on 2200 stocks listed on the Australian Securities Exchange from January 2007 to 31 December 2016. Various portfolio formations are utilized in this paper. General economic conditions such as interest rate, inflation, and GDP are examples of systematic risk. Findings from this study indicate that the selection of portfolio construction, estimation technique, and news about economic conditions significantly affects the view whether or not beta should be considered as a valid measure of systematic risk.
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Faff, R. W., and P. F. Howard. "Bank exposures to interest-rate risk: the case of the Australian banking industry." Applied Economics Letters 4, no. 12 (December 1997): 737–39. http://dx.doi.org/10.1080/758528718.

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CHRISTIE, KENNETH, DAVID STEGEHUIS, JAMES BEESON, and KARL SMITH. "AN ANALYTICAL STUDY OF MANAGING INTEREST RATE RISK IN THE AUSTRALIAN SWAP MARKET." Economic Papers: A journal of applied economics and policy 18, no. 4 (December 1999): 122–33. http://dx.doi.org/10.1111/j.1759-3441.1999.tb01167.x.

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Faff, R. W., and P. F. Howard. "Interest rate risk of Australian financial sector companies in a period of regulatory change." Pacific-Basin Finance Journal 7, no. 1 (February 1999): 83–101. http://dx.doi.org/10.1016/s0927-538x(99)00002-5.

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Dissertations / Theses on the topic "Interest rate risk Australia"

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Hotham, John Patrick Banking &amp Finance Australian School of Business UNSW. "Management of interest rate risk in the banking book of Australian credit unions and building societies." Awarded by:University of New South Wales. Banking & Finance, 2008. http://handle.unsw.edu.au/1959.4/40810.

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The Basel Committee has released a consultative document (Basel (2003)) on the management and supervision of interest rate risk (IRR). This document outlines a standardised model to calculate a duration-based proxy for IRR in depository institution balance sheets. We utilise this methodology to define an IRR measure which we denote BIRRM (Basel Interest Rate Risk Measure). It is the change in the value of a financial institution produced by a 200 basis-point increase in interest rates at all maturities, relative to Tier I and Tier II capital. This study has three primary objectives. Firstly, we utilise BIRRM to provide an overview of IRR exposure of Australian Credit Unions and Building Societies (CUBS) over the period September 1997 to September 2007. Secondly, we seek an understanding of the relationship between BIRRM and measures of CUBS' interest rate sensitivity over a period of rising interest rates (December 1998 to September 2000) and another period of falling rates (September 2000 to December 2001). Finally, we seek an understanding of the economic factors that influence IRR exposure decisions of CUBS by modelling the determinants of CUBS' IRR exposure. We find that IRR exposure of CUBS is relatively low and, on average, CUBS are exposed to falling interest rates. We also find significant relationships between BIRRM and measures of CUBS' interest rates sensitivity consistent with a priori expectations, supporting the use of the Basel Committee's measure of IRR in identifying CUBS with large IRR exposures. The models examining the determinants of CUBS' IRR have relatively low explanatory power. There are however significant relationships between a number of factors and CUBS' exposure to changing rates.
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Jackson, Alexander. "Interest rate and credit risk modelling." Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.400043.

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Zagonov, Maxim. "Financial intermediation and interest rate risk." Thesis, City University London, 2011. http://openaccess.city.ac.uk/1189/.

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This thesis analyses the link between interest rate risk faced by financial intermediaries in the G-10 countries, their balance sheet composition and national bank regulation. The regulatory authorities both in the US and in Europe increasingly emphasise the issue of bank interest rate exposure. The importance of this topic is also reasserted by recent developments in the monetary environment. The thesis offers three major contributions to the area. First, it empirically investigates the interest rate risk exposure of financial intermediaries across a large international data sample over the 1997 to 2009 time period. The results verify the importance of interest rate exposure for the majority of analysed institutions, with statistical inferences being robust to the choice of interest rate proxy, time period, and the adopted econometric methodology. Second, this research examines the underlying determinants of bank interest rate risk. Both company and market specific information is considered in the analysis. The findings suggest that national regulatory and supervisory characteristics, and notably international diversity among these provisions, are as important as firm-level accounting variables in explaining the interest rate exposures of individual banks. Finally, this work empirically addresses the impact of securitization on bank interest rate risk. In particular, the research questions whether securitization is conducive to the optimal hedging of bank interest rate risk, or is merely a funding source enabling these companies to pursue more profitable but riskier projects. The reported results imply that banks resorting to asset securitization do not, on average, achieve an unambiguous reduction in their exposure to the term structure developments.
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Iqbal, Adam Saeed. "Dynamic interest rate and credit risk models." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/6851.

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This thesis studies the pricing of Treasury bonds, the pricing of corporate bonds and the modelling of portfolios of defaultable debt. By drawing on the related literature, Chapter 1 provides economic background and motivation for the study of each of these topics. Chapter 2 studies the use of Gaussian affine dynamic term structure models (GDTSMs) for forming forecasts of Treasury yields and conditional decompositions of the yield curve into expectation and risk premium components. Specifically, it proposes market prices of risk that can generate bond price time series that are consistent with the important empirical result of Cochrane and Piazzesi (2005), that a linear combination of forward rates can forecast excess returns to bonds. Since the GDTSM here falls into the essentially affine class (Duffee (2002)), it is analytically tractable. Chapter 3 studies conditional risk premia in a commonly applied default intensity based model for pricing corporate bonds. Here, I refer to such models as completely affine defaultable dynamic term structure models (DDTSMs). There are two main contributions. First, I show that completely affine DDTSMs imply that the compensation for the risk associated with shocks to default intensities (the credit spread risk premium) is related to the volatility of default intensities. Second, I run regressions to show that this relationship holds in a set of corporate bond data. Finally, Chapter 4 proposes a new dynamic model for default rates in large debt port- folios. The model is similar in principle to Duffie, Saita, and Wang (2007) and Duffie, Eckner, Horel, and Saita (2009) in that the default intensity depends on the observed macroeconomic state and unobserved frailty variables. However, the model is designed for use with more commonly available aggregate, rather than individual, default data. Fitting the model to aggregate charge-off rates in US corporate, real-estate and non- mortgage retail sectors, it is found that interest rates, industrial production and unemployment rates have quantitatively plausible effects on aggregate default rates.
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Kladívko, Kamil. "Interest Rate Modeling." Doctoral thesis, Vysoká škola ekonomická v Praze, 2005. http://www.nusl.cz/ntk/nusl-96400.

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I study, develop and implement selected interest rate models. I begin with a simple categorization of interest rate models and with an explanation why interest rate models are useful. I explain and discuss the notion of arbitrage. I use Oldrich Vasicek's seminal model (Vasicek; 1977) to develop the idea of no-arbitrage term structure modeling. I introduce both the partial di erential equation and the risk-neutral approach to zero-coupon bond pricing. I briefly comment on affine term structure models, a general equilibrium term structure model, and HJM framework. I present the Czech Treasury yield curve estimates at a daily frequency from 1999 to the present. I use the parsimonious Nelson-Siegel model (Nelson and Siegel; 1987), for which I suggest a parameter restriction that avoids abrupt changes in parameter estimates and thus allows for the economic interpretation of the model to hold. The Nelson-Siegel model is shown to fit the Czech bond price data well without being over-parameterized. Thus, the model provides an accurate and consistent picture of the Czech Treasury yield curve evolution. The estimated parameters can be used to calculate spot rates and hence par rates, forward rates or discount function for practically any maturity. To my knowledge, consistent time series of spot rates are not available for the Czech economy. I introduce two estimation techniques of the short-rate process. I begin with the maximum likelihood estimator of a square root diff usion. A square root di usion serves as the short rate process in the famous CIR model (Cox, Ingersoll and Ross; 1985b). I develop and analyze two Matlab implementations of the estimation routine and test them on a three-month PRIBOR time series. A square root diff usion is a restricted version of, so called, CKLS di ffusion (Chan, Karolyi, Longsta and Sanders; 1992). I use the CKLS short-rate process to introduce the General Method of Moments as the second estimation technique. I discuss the numerical implementation of this method. I show the importance of the estimator of the GMM weighting matrix and question the famous empirical result about the volatility speci cation of the short-rate process. Finally, I develop a novel yield curve model, which is based on principal component analysis and nonlinear stochastic di erential equations. The model, which is not a no-arbitrage model, can be used in areas, where quantification of interest rate dynamics is needed. Examples, of such areas, are interest rate risk management, or the pro tability and risk evaluation of interest rate contingent claims, or di erent investment strategies. The model is validated by Monte Carlo simulations.
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Hegre, Håvard. "Interest rate modeling with applications to counterparty risk." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2006. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9470.

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This thesis studies the estimation of credit exposure arising from a portfolio of interest rate derivatives. The estimation is performed using a Monte Carlo simulation. The results are compared to the exposure obtained under the current exposure method provided by the Bank for International Settlements (BIS). We show that the simulation method provides a much richer set of information for credit risk managers. Also, depending on the current exposure and the nature of the transactions, the BIS method can fail to account for potential exposure. All test portfolios benefit significantly from a netting agreement, but the BIS approach tends to overestimate the risk reduction due to netting. In addition we examine the impact of antithetic variates and different time-discretizations. We find that a discretization based on derivatives' start and maturity dates may reduce simulation time significantly without loosing generality in exposure profiles. Antithetic variates have a small effect.

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Nguyen, Hai Nam. "Contributions to credit risk and interest rate modeling." Thesis, Evry-Val d'Essonne, 2014. http://www.theses.fr/2013EVRY0038.

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Cette thèse traite de plusieurs sujets en mathématiques financières: risque de crédit, optimisation de portefeuille et modélisation des taux d’intérêts. Le chapitre 1 consiste en trois études dans le domaine du risque de crédit. La plus innovante est la première dans laquel nous construisons un modèle tel que la propriété d’immersion n’est vérifiée sous aucune mesure martingale équivalente. Le chapitre 2 étudie le problème de maximisation de la somme d’une utilité de la richesse terminale et d’une utilité de la consommation. Le chapitre 3 étudie l’évaluation des produits dérivés de taux d’intérêt dans un cadre multicourbe, qui prend en compte la différence entre une courbe de taux sans risque et des courbes de taux Libor de différents tenors
This thesis deals with several topics in mathematical finance: credit risk, portfolio optimization and interest rate modeling. Chapter 1 consists of three studies in the field of credit risk. The most innovative is the first one, where we construct a model such that the immersion property does not hold under any equivalent martingale measure. Chapter 2 studies the problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in the risk-free interest rate induces market incompleteness. Chapter 3 studies the valuation of Libor interest rate derivatives in a multiple-curve setup, which accounts for the spreads between a risk-free discount curve and Libor curves of different tenors
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Klaassen, Pieter. "Stochastic programming models for interest-rate risk management." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/11913.

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Lu, Yang, and Kevin Visvanathar. "Demand Deposits : Valuation and Interest Rate Risk Management." Thesis, KTH, Entreprenörskap och Innovation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169463.

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In the aftermath of the financial crisis of 2008, regulatory authorities have implemented stricter policies to ensure more prudent risk management practices among banks. Despite the growing importance of demand deposits for banks, no policies for how to adequately account for the inherent interest rate risk have been introduced. Demand deposits are associated with two sources of uncertainties which make it difficult to assess its risks using standardized models: they lack a predetermined maturity and the deposit rate may be changed at the bank’s discretion. In light of this gap, this study aims to empirically investigate the modeling of the valuation and interest rate risk of demand deposits with two different frameworks: the Economic Value Model Framework (EVM) and the Replicating Portfolio Model Framework (RPM). To analyze the two frameworks, models for the demand deposit rate and demand deposit volume are developed using a comprehensive and novel dataset provided by one the biggest commercial banks in Sweden. The findings indicate that including macroeconomic variables in the modeling of the deposit rate and deposit volume do not improve the modeling accuracy. This is in contrast to what has been suggested by previous studies. The findings also indicate that there are modeling differences between demand deposit categories. Finally, the EVM is found to produce interest rate risks with less variability compared to the RPM.
Till foljd av nanskrisen 2008 har regulatoriska myndigheter infort mer strikta regelverk for att framja en sund nansiell riskhantering hos banker. Trots avistakontons okade betydelse for banker har inga regulatoriska riktlinjer introducerats for hur den associerade ranterisken ska hanteras ur ett riskperspektiv. Avistakonton ar forknippade med tva faktorer som forsvarar utvarderingen av dess ranterisk med traditionella ranteriskmetoder: de saknar en forutbestamd loptid och avistarantan kan andras nar sa banken onskar. Med hansyn till detta gap fokuserar denna studie pa att empiriskt analysera tva modelleringsramverk for att vardera och mata ranterisken hos avistakonton: Economic Value Model Framework (EVM) and Replicating Portfolio Model Framework (RPM). Analysen genomfors genom att initialt ta fram modeller for hur avistarantan och volymen pa avistakonton utvecklas over tid med hjalp av ett modernt och unikt dataset fran en av Sveriges storsta kommersiella banker. Studiens resultat indikerar att modellerna for avistarantan och avistavolymen inte forbattras nar makroekonomiska variabler ar inkluderade. Detta ar i kontrast till vad tidigare studier har oreslagit. Vidare visar studiens resultat att det modellerna skiljer sig nar avistakontona ar egmenterade pa en mer granular niva. Slutligen pavisar resultatet att EVM producerar ranteriskestimat som ar mindre kansliga for antanganden an RPM.
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Berg, Simon, and Victor Elfström. "IRRBB in a Low Interest Rate Environment." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273589.

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Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. This article proposes an IRRBB model that follows EBA's regulations. Among other things, this framework contains a deterministic stress test of the risk-free yield curve, in addition to this, two different types of stochastic stress tests of the yield curve were made. The results show that the deterministic stress tests give the highest risk, but that the outcomes are considered less likely to occur compared to the outcomes generated by the stochastic models. It is also demonstrated that EBA's proposal for a stress model could be better adapted to the low interest rate environment that we experience now. Furthermore, a discussion is held on the need for a more standardized framework to clarify, both for the institutions themselves and the supervisory authorities, the risks that institutes are exposed to.
Finansiella institutioner är exponerade mot flera olika typer av risker. En av de risker som kan ha en stor påverkan är ränterisk i bankboken (IRRBB). 2018 släppte European Banking Authority (EBA) ett regelverk gällande IRRBB som ska se till att institutioner gör tillräckliga riskberäkningar. Detta papper föreslår en IRRBB modell som följer EBAs regelverk. Detta regelverk innehåller bland annat ett deterministiskt stresstest av den riskfria avkastningskurvan, utöver detta så gjordes två olika typer av stokastiska stresstest av avkastningskurvan. Resultatet visar att de deterministiska stresstesten ger högst riskutslag men att utfallen anses vara mindre sannolika att inträffa jämfört med utfallen som de stokastiska modellera genererade. Det påvisas även att EBAs förslag på stressmodell skulle kunna anpassas bättre mot den lågräntemiljö som vi för tillfället befinner oss i. Vidare förs en diskussion gällande ett behov av ett mer standardiserat ramverk för att tydliggöra, både för institutioner själva och samt övervakande myndigheter, vilka risker institutioner utsätts för.
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Books on the topic "Interest rate risk Australia"

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Matz, Leonard M. Interest rate risk management. Austin, Tex: Sheshunoff, 2006.

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Managing interest rate risk. Cambridge: Woodhead-Faulkner, 1987.

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Nawalkha, Sanjay K. Interest Rate Risk Modeling. New York: John Wiley & Sons, Ltd., 2005.

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Managing interest rate risk. New York: Quorum Books, 1987.

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Hanweck, Gerald A. Interest rate volatility: Understanding, analyzing, and managing interest rate risk and risk-based capital. Chicago: Irwin Professional Pub., 1996.

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Brooks, Robert Edwin. Interest rate modeling and the risk premiums in interest rate swaps. Charlottesville, Va., U.S.A: Research Foundation of the Institute of Chartered Financial Analysts, 1997.

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Shin, Kilman. Interest rate, risk, and income distribution. [Taegu, Korea]: Taegu University Press, 1986.

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Myers, Cliff. Interest rate risk policy and control. Scottsdale, Ariz. (7272 E. Indian School Rd., Suite 300, Scottsdale 85251): Sendero Corp., 1989.

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McGuire, William J. Understanding and managing interest rate risk. Chicago, IL (8 S. Michigan Ave., Suite 500, Chicago 60603-3307): Financial Managers Society, 1994.

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McGuire, William J. Understanding and managing interest rate risk. Chicago, IL (8 S. Michigan Ave., Suite 500, Chicago 60603-3307): Financial Managers Society, 1994.

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Book chapters on the topic "Interest rate risk Australia"

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García, Francisco Javier Población. "Interest Rate Risk." In Financial Risk Management, 101–34. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_5.

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Willsher, Richard. "Interest Rate Risk." In Export Finance, 143–44. London: Palgrave Macmillan UK, 1995. http://dx.doi.org/10.1007/978-1-349-13980-4_17.

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Bilan, Andrada, Hans Degryse, Kuchulain O’Flynn, and Steven Ongena. "Interest Rate Risk." In Banking and Financial Markets, 31–60. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-26844-2_3.

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Zagst, Rudi. "Risk Measures." In Interest-Rate Management, 227–71. Berlin, Heidelberg: Springer Berlin Heidelberg, 2002. http://dx.doi.org/10.1007/978-3-662-12106-1_6.

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Zagst, Rudi. "Risk Management." In Interest-Rate Management, 273–320. Berlin, Heidelberg: Springer Berlin Heidelberg, 2002. http://dx.doi.org/10.1007/978-3-662-12106-1_7.

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Bingham, Nicholas H., and Rüdiger Kiesel. "Interest Rate Theory." In Risk-Neutral Valuation, 245–76. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4_8.

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Bingham, Nicholas H., and Rüdiger Kiesel. "Interest Rate Theory." In Risk-Neutral Valuation, 327–74. London: Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3856-3_8.

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Chen, Lin. "Managing Interest Rate Risk." In Lecture Notes in Economics and Mathematical Systems, 105–17. Berlin, Heidelberg: Springer Berlin Heidelberg, 1996. http://dx.doi.org/10.1007/978-3-642-46825-4_7.

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Bascom, Wilbert O. "Managing Interest Rate Risk." In The Economics of Financial Reform in Developing Countries, 116–33. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-23372-4_9.

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Wu, Lixin. "xVA: Definition, Evaluation and Risk Management." In Interest Rate Modeling, 449–71. 2nd edition. | Boca Raton, Florida : CRC Press, [2019]: CRC Press, 2019. http://dx.doi.org/10.1201/9781351227421-15.

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Conference papers on the topic "Interest rate risk Australia"

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Stádník, Bohumil. "IMPROVING THE QUANTIFICATION OF INTEREST RATE RISK." In 12th International Scientific Conference „Business and Management 2022“. Vilnius Gediminas Technical University, 2022. http://dx.doi.org/10.3846/bm.2022.762.

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The value of Macaulay duration, probably the most widely used quantification method for measuring interest rate sensitivity of bonds, could roughly be financially interpreted as a percentage change of the bond price if the paral-lel shift of the interest rate equals 1 percentage point along the entire zero-coupon curve and the initial bond price is equal to 100%. The main problem of its practical application lies in the fact that parallel curve shift is a very rare case, and we are more often concerned with predicting short-term rate shifts and considering their consequences for the rest of the yield curve and thus also for bonds with longer maturities. Therefore, it is useful to find a certain value that represents a quantification of the impact of short rate shifts on bond prices with respect to the parameters of bonds. So, the main contribution of this financial engineering research is to design a measure that can be used in the same way as Macaulay duration, but as a response to the change of the short interest rate, for example: in the equation for chang-ing ΔP of a bond, in the equation of the volatility ratio of two bonds, or in the equation for bond portfolio sensitivity. Such a measure is still lacking in finance. We refer to this measure as the “short rate-shift duration”. Since the effect of the short rate shift on the entire yield curve, and thus especially on the price of long-term bonds, is very difficult to predict analytically, we use empirical data to calculate the duration value of the short-term shift and also to calculate its values for the USD and EUR interest markets.
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Yu, Yue, and Liu Lan. "The Impact of Interest Rate Marketization on the Interest Rate Risk of Commercial Banks." In 2019 3rd International Conference on Data Science and Business Analytics (ICDSBA). IEEE, 2019. http://dx.doi.org/10.1109/icdsba48748.2019.00045.

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He, Haixia. "Interest Rate Risk Management of Commercial Bank under the Background of Interest Rate Liberalization." In 2015 International Conference on Economics, Management, Law and Education. Paris, France: Atlantis Press, 2015. http://dx.doi.org/10.2991/emle-15.2015.70.

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Cui, Wei, Min Dai, Steven Kou, Yaquan Zhang, Chengxi Zhang, and Xianhao Zhu. "Interest Rate Swap Valuation in the Chinese Market." In Innovations in Insurance, Risk- and Asset Management. WORLD SCIENTIFIC, 2018. http://dx.doi.org/10.1142/9789813272569_0013.

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Sheng, Xiaokang. "Research on the Interest Rate Risk Management of Commercial Banks in China under Interest Rate Liberalization." In 2018 2nd International Conference on Education Science and Economic Management (ICESEM 2018). Paris, France: Atlantis Press, 2018. http://dx.doi.org/10.2991/icesem-18.2018.33.

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Zhou, Yun, and Xiaosong Zheng. "A Study of Commercial Banks Interest Rate Risk Management under Interest Rates Liberalization." In International Conference on Transformations and Innovations in Management (ictim-17). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/ictim-17.2017.70.

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Mao, H., K. M. Ostaszewski, and Y. L. Wang. "Pricing annuity insurance integrating mortality improvement risk, interest rate risk, insolvency risk and insurance demand." In 2011 IEEE MTT-S International Microwave Workshop Series on Innovative Wireless Power Transmission: Technologies, Systems, and Applications (IMWS 2011). IEEE, 2011. http://dx.doi.org/10.1109/imws.2011.6115240.

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Mao, H., K. M. Ostaszewski, and Y. L. Wang. "Pricing annuity insurance integrating mortality improvement risk, interest rate risk, insolvency risk and insurance demand." In 2011 IEEE International Conference on Industrial Engineering and Engineering Management (IEEM). IEEE, 2011. http://dx.doi.org/10.1109/ieem.2011.6118008.

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Huo, Yunlei. "Risk Management of the Bank Interest Rates under the Background of Interest Rate Marketization." In 4th International Conference on Management Science, Education Technology, Arts, Social Science and Economics 2016. Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/msetasse-16.2016.215.

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He, Qizhi. "Value at risk for repo interest rate based on TGARCH." In 2008 IEEE International Conference on Service Operations and Logistics, and Informatics (SOLI). IEEE, 2008. http://dx.doi.org/10.1109/soli.2008.4686433.

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Reports on the topic "Interest rate risk Australia"

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Johri, Alok, Shahed Khan, and César Sosa-Padilla. Interest Rate Uncertainty and Sovereign Default Risk. Cambridge, MA: National Bureau of Economic Research, August 2020. http://dx.doi.org/10.3386/w27639.

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Carpenter, Jennifer, Fangzhou Lu, and Robert Whitelaw. The Price and Quantity of Interest Rate Risk. Cambridge, MA: National Bureau of Economic Research, February 2021. http://dx.doi.org/10.3386/w28444.

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Drechsler, Itamar, Alexi Savov, and Philipp Schnabl. Banking on Deposits: Maturity Transformation without Interest Rate Risk. Cambridge, MA: National Bureau of Economic Research, May 2018. http://dx.doi.org/10.3386/w24582.

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Engel, Charles. The Real Exchange Rate, Real Interest Rates, and the Risk Premium. Cambridge, MA: National Bureau of Economic Research, June 2011. http://dx.doi.org/10.3386/w17116.

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Landier, Augustin, David Sraer, and David Thesmar. Banks' Exposure to Interest Rate Risk and The Transmission of Monetary Policy. Cambridge, MA: National Bureau of Economic Research, February 2013. http://dx.doi.org/10.3386/w18857.

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Belongia, Michael T., and Mack Ott. The U. S. Monetary Policy Regime, Interest Differentials and Dollar Exchange Rate Risk Premia. Federal Reserve Bank of St. Louis, 1987. http://dx.doi.org/10.20955/wp.1987.009.

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Liu, Jun, Francis Longstaff, and Ravit Mandell. The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. Cambridge, MA: National Bureau of Economic Research, June 2002. http://dx.doi.org/10.3386/w8990.

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Hall, George, and Thomas Sargent. Interest Rate Risk and Other Determinants of Post-WWII U.S. Government Debt/GDP Dynamics. Cambridge, MA: National Bureau of Economic Research, January 2010. http://dx.doi.org/10.3386/w15702.

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Hall, Robert. The Role of the Growth of Risk-Averse Wealth in the Decline of the Safe Real Interest Rate. Cambridge, MA: National Bureau of Economic Research, April 2016. http://dx.doi.org/10.3386/w22196.

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Brassil, Anthony. The Consequences of Low Interest Rates for the Australian Banking Sector. Reserve Bank of Australia, December 2022. http://dx.doi.org/10.47688/rdp2022-08.

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There is a vast international literature exploring the consequences of low interest rates for various banking sectors. In this paper, I explore how this international literature relates to the Australian banking sector, which operates differently to other jurisdictions. In the face of low rates, the profitability of Australian banks has likely been less adversely affected than what the international literature would predict, but the flip side to this is that the pass-through of monetary policy to lending rates may have been more muted. I then use a recent advance in macrofinancial modelling to explore whether pass-through in Australia could turn negative – the so called 'reversal rate' – and find that the features of the Australian banking system mean a reversal rate is highly unlikely to exist in Australia.
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