Dissertations / Theses on the topic 'Interest rate risk Australia'
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Hotham, John Patrick Banking & 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 tenorsThis 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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Staikouras, Sotiris K. "Interest rate volatility and the risk of financial institutions." Thesis, City University London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.287410.
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Marten, Elena Renee. "Interest rate risk in UK defined benefit pension schemes." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19721.
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Mestrado em Actuarial ScienceDesde a crise financeira de 2008, fundos de pensões começaram a reconhecer, mais do que nunca, a necessidade de se protegerem contra o risco da taxa de juro. Este risco é o mais significativo e volátil para os fundos de pensões pois uma mudança nas condições do mercado pode ter um grande impacto tanto nos ativos como nos passivos do fundo, afetando o seu nível de financiamento. Estratégias de remoção do risco são críticas à luz dos planos de benefícios definidos (BD) estarem cada vez mais insustentáveis. Fundos de pensões estão a considerar várias estratégias de remoção do risco e a reavaliar as suas estratégias de investimento com o objetivo de garantirem, com elevado nível de confiança, os pagamentos aos seus participantes e beneficiários. Este relatório irá discutir como é que planos BD são afetados pelo risco da taxa de juro, como é que esse risco é refletido no relatório da avaliação e que estratégias e ferramentas são usadas para mitigar este risco. Este relatório é o resultado de um de um estágio de cinco meses na Willis Towers Watson. O foco do estágio foi em avaliações de fundos de pensões do Reino Unido em que eu trabalhei nos cálculos do passivo e na análise dos resultados apresentados no relatório da avaliação. O estágio providenciou-me a oportunidade de aplicar o conhecimento atuarial que desenvolvi durante o Mestrado num ambiente empresarial.
Since the financial crisis of 2008, pension schemes began recognizing more than ever that they need to protect against interest rate risk. Interest rate risk is the most significant and volatile risk to pension schemes because a change in market conditions can have a big impact on both the assets and the liabilities of the pension scheme, affecting the funding level of the scheme. De-risking strategies are critical in light of defined benefit pension schemes becoming increasingly unsustainable. Pension schemes are putting many de-risking strategies into place and reevaluating their investment strategies to get to a position to reliably pay their members. This paper discusses how DB pension schemes are affected by interest rate risk, how the risk is reflected in the actuarial valuation report, and what strategies and tools are used to mitigate interest rate risk. This paper is the result of my five-month curricular internship at Willis Towers Watson. The focus of the internship was UK pension scheme valuations in which I worked with the liability calculations and analysis associated with the actuarial valuation report. The internship gave me the opportunity to apply the actuarial knowledge that I developed in the master to a real work environment. In this paper I show an example of one client who uses de-risking strategies against interest rate risk.
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Brodin, Therese, and Frida Harrysson. "Interest rate swap eller inte? : En studie om de största svenska företagens användning av interest rate swaps." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-27845.
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Syfte: Syftet är att undersöka svenska storföretags användande av derivatet ränteswap (svensk benämning för interest rate swap) för år 2012 och 2013 samt att undersöka skillnader utifrån tidigare funna bakomliggande faktorer mellan företag som använder olika typer av ränteswaps och företag som inte använder ränteswap. Metod: Studien tillämpade en empirisk totalundersökning gällande de icke-finansiella företagen noterade på Nasdaq OMX Stockholm Large Cap för slutet på år 2012 respektive år 2013. Utifrån företagens årsredovisningar kategoriserades företagen i fyra grupper baserat på företagets användande av ränteswap. Fem tidigare funna bakomliggande faktorer för användandet av ränteswap sammanställdes genomsnittligt per kategori och jämfördes därefter kategorierna emellan. Resultat: Av de största noterade börsföretagen använde 29 av 40 stycken företag ränteswap år 2012 och 29 av 42 företag år 2013. Företag som använde rörlig ränteswap var signifikant större än de företag som inte använde ränteswap för år 2012 och 2013. År 2013 hade de företag som använde fast och båda typer av ränteswaps högre andel kortfristiga lån i jämförelse med de företag som inte använde ränteswap. Uppmätta skillnader kategorierna emellan för de resterande tre undersökta faktorerna; andel långfristiga lån, löptiden på företagens lån liksom företagens förväntade obeståndskostnader var inte signifikanta vilket innebar att de uppmätta skillnaderna inte kunde hänföras till svenska storföretag. Slutsatser: Över två tredjedelar av de undersökta företagen använde ränteswap. Storleken för företag som använde ränteswap var en urskiljande faktor i jämförelse med företag som inte använde ränteswap. För svenska storföretags andel kortfristiga lån för ett av de undersökta åren talar det mesta för att företag som använde ränteswap hade högre andel kortfristiga lån än företag som inte använde ränteswap. Skillnader i andel långfristiga lån, löptid på lån liksom förväntade obeståndskostnader kategorierna emellan kunde inte hänföras till svenska storföretag och därmed inte ses som urskiljande faktorer för användande av ränteswap.Purpose: The purpose is to investigate the largest Swedish companies utilization of interest rate swap (afterwards referred to as IRS), as well as variations in the underlying factors between companies who use IRS and companies who do not. Methodology: The study applied an empirical investigation about the non-financial companies noted on Nasdaq OMX Stockholm Large Cap for the end of year 2012 and year 2013. By their annual reports, companies where divided into four categories based on their usage of IRS. Five earlier factors for the use of IRS were compiled per category and were then compared between the categories. Findings: 29 out of the 40 largest listed companies used IRS 2012, and 29 out of 42 companies 2013. The companies who used variable IRS were significantly larger than the ones who didn't use IRS. Companies who used fixed, and both types of IRS year 2013, had a higher proportion of short-term loans compared to the companies which didn't use IRS. Measured differences between the categories for the remaining three factors; proportion of long-term loans, duration on the companies loans as well as their expected distress costs was not significant which implicates that the measured differences could not be assigned to Swedish corporations. Conclusions: Over two thirds of the investigated companies used IRS. The size of the companies that used IRS was a factor which differed between companies who used IRS and the companies that didn't. The proportion of short-term loans showed a significant disparity for one of the investigated years indicated that the companies who used IRS have a larger proportion of short-term loans than the ones who don't. Differences in the proportion of long-term loans, duration on loans and expected distress costs between the categories could not be assigned to Swedish corporations.
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Xie, Yan Alice Wu Chunchi. "Immunization of interest rate risk and pricing of default risk of bond portfolios." Related Electronic Resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2003. http://wwwlib.umi.com/cr/syr/main.
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Ruprecht, Benedikt [Verfasser], and Marco [Akademischer Betreuer] Wilkens. "Banks' Interest Rate Risk: Pricing and Risk Management / Benedikt Ruprecht. Betreuer: Marco Wilkens." Augsburg : Universität Augsburg, 2013. http://d-nb.info/1077703104/34.
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Bussel, Petrus Johannes Michaël van. "Valuation and interest rate risk of mortgages in the Netherlands." Maastricht : Maastricht : Universiteit Maastricht ; University Library, Maastricht University [Host], 1998. http://arno.unimaas.nl/show.cgi?fid=6060.
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Kang, Zhuang. "Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157.
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Liu, Guanting. "P2P LENDING MARKET: DETERMINANTS OF INTEREST RATE AND DEFAULT RISK." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44052.
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The peer to peer (p2p) lending industry has grown fast in recent years. This study put an eye on the credit evaluation system of one of the p2p platform named lending club. The author used the empirical method and discussed the determinants of the interest rate and the default risk in the p2p lending market. The author concluded that the evaluation system founded by lending club could predict the risk of loans. Collecting more information about borrowers’ credit history may increase the accuracy of the model.
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Daccache, Rudy. "Interest Rate and Liquidity Risk Management for Lebanese Commercial Banks." Thesis, Lyon 1, 2014. http://www.theses.fr/2014LYO10100/document.
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L'objectif de cette thèse est de fournir à la Banque Audi des outils économétriques et appliqués pour une gestion des risques plus efficace et plus robuste. Les banques libanaises sont aujourd'hui confrontées à des défis plus importants que jamais: l'avenir de la région Moyen-Orient repose sur les conséquences de la guerre civile syrienne. Dans ce contexte, la gestion des taux d'intérêt et de la liquidité s'avère de plus en plus compliqué pour les banques commerciales. En premier lieu, le risque de taux d'intérêt sur le marché libanais sera étudié. Ce marché est connu pour son manque de liquidité et le problème de calibrage des modèles de taux est difficile. Afin de résoudre ce problème, nous utilisons les prix historiques des obligations émises par le gouvernement libanais et libellées en monnaie locale et en dollars américains. Nous considérons des modèles de Nelson-Siegel et Svensson et contraignons le niveau corrélation des facteurs pour stabiliser l'estimation des paramètres de ces modèles. La méthode conduit à des résultats qui s'interprètent très facilement d'un point de vue économique et peuvent être utilisés pour la prévision des variations de la courbe des taux en se basant une analyse ´économique prospective. En second lieu, la problématique des dépôts des clients traditionnels sera étudiée. Ces derniers sont reconnus comme étant la source principale de financement des banques commerciales libanaises (80-85% du passif). Bien qu'ils soient contractuellement des dépôts à court terme (principalement un mois) versant des taux d'intérêt fixes, ces dépôts sont assimilés à une source de financement stable possédant un comportement proche des taux d'intérêt du marché. Nous développons un modèle à correction d'erreur représentant un équilibre à long terme entre le Libor et le taux moyen du secteur bancaire libanais offert sur les dépôts en dollars américains. Les résultats permettent de déterminer une date de réévaluation des dépôts clientèles en cas de fluctuation des taux d'intérêt. Une nouvelle duration du passif tenant compte des comportements des clients a été mise en place. Elle sera par construction plus élevée que la duration contractuelle. En cas de hausse des taux d'intérêt, une baisse de l'écart entre la duration des actifs et des passifs sera alors observée menant à la diminution de l'impact négatif de la hausse. Après avoir étudié le profil de risque des taux des dépôts clientèles, nous commençons la deuxième partie de la thèse par la détermination de l'échéancier des retraits. Nous segmentons les données historiques des données sur les dépôts clientèles selon: la monnaie, le type de dépôt et la résidence du déposant. Pour chaque filtre, un modèle `a correction d'erreur est développé. Les résultats montrent la relation entre les dépôts clientèles, un indicateur relatif du niveau économique et les écarts entre les taux offerts sur le marché libanais. Ainsi, le modèle permettra d'évaluer le comportement des retraits des dépôts clientèles et de comprendre leur profil de risque de liquidité. Les grandes institutions financières détiennent des positions importantes en actifs financiers. La dernière partie de la thèse discute de la gestion du risque de liquidité de marché en cas de session forcée de ces actifs. Nous supposons qu'un investisseur détient une position importante d'un actif donné, à t = 0, un choc sévère provoque une forte dépréciation de la valeur de l'actif et par conséquent, force l'investisseur à opter pour la liquidation du portefeuille dès que possible en limitant ses pertes. Les rendements des actions sont modélisés par des processus de type GARCH qui sont adaptés pour décrire des comportements extrêmes suite à une grande variation de l'actif au temps initial. Suivant que le marché est liquide ou illiquide, nous proposons une stratégie optimale à l'investisseur qui maximise sa fonction d'utilité. Enfin, nous intégrons dans le modèle un avis d'expert pour optimiser la prise d'une décisionThe aim of this thesis is to provide Bank Audi with econometric tools for sake of a more robust risk management. Lebanese businesses today are faced with greater challenges than ever before, both economical and political, and there is a question about the future of the middle east region after the Syrian civil war. Thus, Lebanese commercial banks face greater complications in the management of interest rate and liquidity risk. The first part of this thesis discusses interest rate risk management and measurement in the Lebanese market. First, we seek to build the Lebanese term structure. This market is known by its illiquidity, yields for a given maturity make a large jump with a small impact on other yields even if close to this maturity. Therefore, we face challenges in calibrating existing yield curve models. For this matter, we get historical prices of bonds issued by the Lebanese government, and denominated in Local currency and in US dollar. A new estimation method has been added to Nelson Siegel and Svensson model, we call it “Correlation Constraint Approach”. Model parameters can be interpreted from economical perspective which will be helpful in forecasting yield curve movements based on economist’s opinion. On the second hand, traditional customer deposits are the main funding source of Lebanese commercial banks (80-85% of liabilities). Although they are contractually short term (mainly one month) paying fixed interest rates, these deposits are historically known to be a stable source of funding and therefore exhibit a sticky behavior to changes in market interest rates. We develop an error correction model showing a long-run equilibrium between Libor and Lebanese banking sector average rate offered on USD deposits. Results make it possible to determine the behavioral duration (repricing date) of customer deposits when market interest rates fluctuate. Therefore, the behavioral duration of liabilities will be higher than the contractual one which will lower the duration gap between assets and liabilities and thus the negative impact of positive interest rate shocks. After understanding interest risk profile of customers’ deposits, we start the second part by determining their behavioral liquidation maturity. We get Bank Audi’s historical deposits outstanding balances filtered into the following categories: currency, account typology and residency of depositor. We develop an error correction model for each filter. Results show relationship between deposits behaviors, the coincident indicator and spreads between offered rates in the Lebanese market. The model will lead to assess behavioral liquidation maturity to deposits and understand their liquidity risk profile. This will be helpful for the funding liquidity risk management at Bank Audi. Large financial institutions are supposed to hold large positions of given assets. The last topic is related to market liquidity risk management. We suppose an investor holds a large position of a given asset. Then at time 0, a severe shock causes a large depreciation of the asset value and makes the investor decides to liquidate the portfolio as soon as possible with limited losses. Stock returns are modeled by GARCH process which has tail behaviors after large variation at time 0. Trading on liquid and illiquid markets, we provide the trader with best exit trading strategy maximizing his utility function, finally we incorporate into the model an expert opinion which will help the investor in taking the decision
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Liu, Cheng. "Utility-based Futures Contract Pricing under Stochastic Interest Rate, Appreciation Rate and Dividend Yield." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1283524846.
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Murase, Takeo. "Interest Rate Risk – Using Benchmark Shifts in a Multi Hierarchy Paradigm." Thesis, KTH, Matematisk statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-129293.
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This master thesis investigates the generic benchmark approach to measuring interest rate risk. First the background and market situation is described followed by an outline of the concept and meaning of measuring interest rate risk with generic benchmarks. Finally a single yield curve in an arbitrary currency is analyzed in the cases where linear interpolation and cubic interpolation technique is utilized. It is shown that in the single yield curve setting with linear interpolation or cubic interpolation the problem of finding interest rate scenarios can be formulated as convex optimization problems implying properties such as convexity and monotonicity. The analysis also shed light on the difference between linear interpolation and cubic interpolation technique for which scenario is generated and means to go about solving for the scenarios generated by the views imposed on the generic benchmark instruments. Further research on the topic of the generic benchmark approach that would advance the understanding of the model is suggested at the end of the paper. However at this stage it seems like using generic benchmark instruments for measuring interest rate risk is a consistent and computational viable option which not only measures the interest rate risk exposure but also provide a guidance in how to act in order to manage interest rate risk in a multi hierarchy paradigm
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Yueh, Meng-Lan. "Numerical lattice methods for implementing interest rate and credit risk models." Thesis, University of Warwick, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.252479.
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Williamson, Gareth Alan. "Interest rate risk management : a case study of GBS Mutual Bank." Thesis, Rhodes University, 2008. http://eprints.ru.ac.za/1585/.
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Chui, Hiu-fai Sam. "Evaluation of measures taken by financial institutes under the interest rate swing caused by the currency attack /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19882117.
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Gyllenberg, Felix, and Åström Leonard Rudolf. "INTEREST RATE RISK : A comparative study aimed at finding the most crucial shift in interest rate curves for a life insurance company." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160248.
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Risk management is applied in many financial institutions under regulatory supervision. Life insurance companies face many challenges to ensure policy holders of future payouts. The inverted balance sheet of life insurance companies imply that the policy holder pay premiums in advance to the insurance company to later receive payouts at the age of retirement. This means a great responsibility for the life insurance company to be able to meet future liabilities. Due to this, one of the largest risks facing a life insurance company is the interest rate risk. Future liabilities depend on the interest rates and the difference in duration in assets and liabilities creates an imperfect negative correlation between the movements in assets and liabilities when the interest rate change. The bond market holds different types of bonds such as government bonds, housing bonds and corporate bonds with different maturities within each subgroup. The relationship between these subgroups and maturities within these subgroups are interesting to investigate in a forecasting point of view. This relationship is usually referred to as the term structure of interest rates and changes in the term structure are referred to as shifts. This thesis aims to find which of the three shifts, level, slope and curvature, that is most important to capture in interest rate models. This is investigated using three different simulation techniques and the results show that the first shift representing a level shift of the whole term structure has the largest effect on Skandia’s balance sheet.
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O???Brien, Peter Banking & Finance Australian School of Business UNSW. "Term structure modelling and the dynamics of Australian interest rates." Awarded by:University of New South Wales. School of Banking and Finance, 2006. http://handle.unsw.edu.au/1959.4/28283.
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This thesis consists of two related parts. In the first part we conduct an empirical examination of the dynamics of Australian interest rates of six different maturities, covering the whole yield curve. This direct study of the long rates is quite novel. We use maximum likelihood estimation on a variety of models and find some results that are in stark contrast to previous studies. We estimate Poisson-jump diffusion (PJD) models and find very strong evidence for the existence of jumps in all daily interest rate series. We find that the PJD model fits short-rate data significantly better than a Bernoulli-jump diffusion model. We also estimate the CKLS model for our data and find that the only model not rejected for all six maturities is the CEV model in stark contrast to previous findings. Also, we find that the elasticity of variance estimate in the CKLS model is much higher for the short-rates than for the longer rates where the estimate is only about 0.25, indicating that different dynamics seem to be at work for different maturities. We also found that adding jumps to the simple diffusion model gives a larger improvement than comes from going from the simple diffusion to the CKLS model. In the second part of the thesis we examine the Flesaker and Hughston (FH) term structure model. We derive the dynamics of the short rate under both the original measure and the risk-neutral measure, and show that some criticisms of the bounds for the short rate may not be significant in actual applications. We also derive the dynamics of bond prices in the FH model and compare them to the HJM model. We also extend the FH model by allowing the martingale to follow a jump-diffusion process, rather than just a diffusion process. We derive the unique change of measure that guarantees the family of bond prices is arbitrage-free. We derive prices for caps and swaptions, and extend the results to include Bermudan swaptions and show how to price options with the jump-diffusion version of the FH model.
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Hambouri, Zaphiro. "Risk and asset/liability management of fixed income portfolios." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312022.
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Slinko, Irina. "Essays in option pricing and interest rate models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI), 2006. http://www2.hhs.se/EFI/summary/706.htm.
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Abiola, Isaac Abiodun. "Modeling credit risk spread and interest rate volatility in the Eurodollar market." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq25214.pdf.
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Davis, Caleb M. "U.S. Monetary Policy and Emerging Market Interest Rate Spreads: Explaining the Risk." Scholarship @ Claremont, 2011. http://scholarship.claremont.edu/cmc_theses/294.
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This paper will attempt to explain fluctuations in emerging market interest rate spreads by examining the implied federal funds effective rates that are derived from federal funds interest rate futures contracts. It will focus on comparing the individual relationships between four widely-used measures of U.S. monetary policy and emerging market interest rate spreads to determine which is the most powerful. The four measures of U.S. monetary policy are as follows: the yield on the U.S. 10-year Treasury, federal funds effective rate, federal funds target rate, and the implied rate from one-month federal funds futures contracts. It will expand upon previous studies that have been conducted on this topic, namely that of which done by Vivek Arora and Martin Cerisola in 2000 that attempted to explain the relationship between U.S. monetary policy, measured by the federal funds effective rate, and emerging market interest rates spreads. I find that the yield on the U.S. 10-year Treasury to be the most powerful driver of changes in emerging market interest rate spreads. However, I also find that the implied rate from federal funds interest rate futures is still highly indicative of spreads, especially when compared to the target and effective federal funds rates.
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MACHADO, SERGIO JURANDYR. "INTEREST RATE RISK MANAGEMENT IN PENSION FUNDS: IMMUNIZATION S LIMITS AND POSSIBILITIES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9155@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROO termo imunização denota a construção de uma carteira de títulos de forma a torná-la imune a variações nas taxas de juros. No caso das entidades de previdência complementar, o objetivo da imunização é distribuir os recebimentos intermediários e finais dos ativos de acordo com o fluxo de pagamentos dos benefícios. Em geral, quanto maior a classe de alterações na estrutura a termo das taxas de juros (ETTJ), mais restritivo se torna o modelo. Embora exista uma vasta literatura sobre o aspecto estatístico e sobre o significado econômico dos modelos de imunização, esse trabalho inova ao prover uma análise detalhada do desempenho comparado dos modelos, sob três perspectivas complementares: o método escolhido, a dimensionalidade e, ainda, o horizonte de investimento. Entretanto, a decisão final do gestor não está restrita à escolha do método de imunização, como também ao horizonte de investimento a ser imunizado, uma vez que outros instrumentos financeiros podem garantir tanto a solvência econômica quanto a financeira. Os limites não operacionais à imunização são analisados por meio da comparação das medianas do relativo de riqueza e da probabilidade de exaustão da carteira. A análise permite concluir que os modelos de imunização tradicional são mais eficientes, especialmente no médio e longo prazo, que os modelos multidimensionais de gestão do risco de taxa de juros. Ademais, demonstra-se que não existem limites naturais à imunização, quando aplicada ao mercado previdenciário brasileiro por um período igual ou inferior a 10 anos.
Immunization is defined as the investment in assets in such a way that the fixed income portfolio is immune to a change in interest rates. In the special case of pension funds, immunization seeks the distribution of the cash inflows in accordance with the outflows represented by the fund´s liabilities. The article compares distinct alternative methods of immunization against the traditional duration-matching strategy. All portfolios were obtained as a result of mathematical programming problems, where the choice of the immunization strategy led to the restrictions imposed on the evolution of the term structure of interest rates. Despite the intensive research related to this subject, there are some gaps to be filled yet, especially those concerned with the investment horizon. That is exactly the main objective of this thesis. The work provides the basis for selecting the most appropriate method for immunization and also demonstrates the superiority of the traditional duration-matching strategy, especially in the medium and long run. Moreover, it is demonstrated that there is no limit other than operational to the immunization process concerning Brazilian markets for investment horizons of less than 10 years.
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Howard, Scott T. "Optimal Interest Rate for a Borrower with Estimated Default and Prepayment Risk." Diss., CLICK HERE for online access, 2008. http://contentdm.lib.byu.edu/ETD/image/etd2400.pdf.
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Pansera, Jérôme. "Local risk minimization, consistent interest-rate modeling, and applications to life insurance." Diss., University of Iowa, 2008. https://ir.uiowa.edu/etd/15.
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This thesis studies local risk minimization, consistent interest-rate modeling, and their applications to life insurance.
Part I considers local risk minimization, which is one possible approach to price and hedge claims in incomplete markets. In this first part, our two main results are Propositions 3.6 and 4.3: they provide an easy way to compute locally risk-minimizing hedging strategies for common life-insurance products in discrete time and in continuous time, respectively.
Part II considers consistent interest-rate modeling; that is, interest-rate models in which a change in the yield curve can be explained by a change in the state variable, without changing the parameters of the model. In this second part, we present a single-factor interest-rate model (jointly specified under the physical and the risk-neutral probability measures), which allows for observation errors. Our main result is an algorithm to estimate the hidden values of the state variable, as well as the five parameters of our model. We also outline how our results can be extended to the multi-factor case.
Part III combines the results of Parts I and II in a numerical example. In this example, we compute a locally risk-minimizing hedging strategy for a life annuity under stochastic interest rates. We assume that the insurance company is trying to hedge this product by trading zero-coupon bonds of various maturities. Since a perfect hedge is impossible in this case, we obtain (by simulation) the distribution of the cost resulting from the ``mis-hedge''. This distribution is with respect to the physical probability measure, while most of the existing literature considers it under a risk-neutral measure.
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Henningsson, Peter, and Christina Skoglund. "A framework for modeling the liquidity and interest rate risk of demand deposits." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187478.
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The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. The volume model and the deposit rate model are used to determine the liquidity and interest rate risk, which is done separately. The liquidity risk is determined by a liquidity quantile which estimates the minimum deposit volume that is expected to remain in the bank over a given time period. The interest rate risk is quantified by an arbitrage-free valuation of the demand deposit which can be used to determine the sensitivity of the net present value of the demand deposit caused by a parallel shift in the market rates. Furthermore, an immunization and a replicating portfolio are constructed and the performances of these are tested when introducing the same parallel shifts in the market rates as in the valuation of the demand deposit. The conclusion of this thesis is that the framework for the liquidity risk management that is developed gave satisfactory results and could be used by the bank if the deposit volume is estimated on representative data and a more accurate model for the short rate is used. The interest rate risk framework did however not yield as reliable results and would be more challenging to implement as a more advanced model for the deposit rate is required.Målet med denna rapport är att utveckla ett ramverk för att bestämma likviditets-och ränterisken som är relaterad till en banks inlåningsvolym. Detta görs genom att först ta fram en modell för korträntan via kalibrering av en Vasicek modell. Därefter utvecklas, genom multipelregression, modeller för att beskriva bankens inlåningsvolym och inlåningsränta. Dessa modeller används för att kvantifiera likviditets- och ränterisken för inlånings-volymen, vilka beräknas och presenteras separat. Likviditetsrisken bestäms genom att en likviditetskvantil tas fram, vilken estimerar den minimala inlånings-volymen som förväntas kvarstå hos banken över en given tidsperiod. Ränterisken kvantifieras med en arbitragefri värdering av inlåningen och resultatet används för att bestämma känsligheten för hur nuvärdet av inlåningsvolymen påverkas av ett parallellskifte. Utöver detta bestäms en immuniseringsportfölj samt en rep-likerande portfölj och resultatet av dessa utvärderas mot hur nuvärdet förändras givet att samma parallellskifte i ränteläget som tidigare introduceras. Slutsatsen av projektet är att det framtagna ramverket för att bestämma likviditetsrisken för inlåningen gav bra resultat och skulle kunna implementeras i dagsläget av banken, förutsatt att volymmodellen estimeras på representativ data samt att en bättre modell för korträntan används. Ramverket för att bestämma ränterisken gav dock inte lika tillförlitliga resultat och är mer utmanande att implementera då en mer avancerad modell för inlåningsräntan krävs.
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Kierulf, Kaja. "Evaluating Different Simulation-Based Estimates for Value and Risk in Interest Rate Portfolios." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2010. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-10823.
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This thesis evaluates risk measures for interest rate portfolios. First a model for interest rates is established: the LIBOR market model. The model is applied to Norwegian and international interest rate data and used to calculate the value of the portfolio by using Monte Carlo simulation. Estimation of volatility and correlation is discussed as well as the two risk measures value at risk and expected tail loss. The data used is analysed before the results of the backtesting evaluating the two risk measures are presented.
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Port, Henry Alvorado [Verfasser], and Stefan [Akademischer Betreuer] Mittnik. "Advances in interest rate & risk modeling / Henry Alvorado Port ; Betreuer: Stefan Mittnik." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2020. http://d-nb.info/1218466847/34.
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Akhtaruzzaman, Md. "Interest rate risk of Australian financial firms." Thesis, 2013. http://hdl.handle.net/1959.13/1037246.
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Research Doctorate - Doctor of Philosophy (PhD)The Australian financial system has undergone major regulatory changes during the 1970s and 1980s. The most notable deregulatory measures include the removal of interest rate ceilings on bank deposits and loans, the liberalization of foreign bank entry restrictions, and the introduction of a floating exchange rate system, among others. These deregulatory measures have increased competitive pressure on financial firms from both home and abroad and reduced net interest margin, making financial firms more vulnerable to interest rate changes. The main purpose of this thesis is to examine the exposure of Australian financial firms to domestic and foreign interest rate risk during the post-deregulation period from 1993 to 2011. The exposure of financial firms to interest rate risk is of crucial importance to practitioners, academics, and regulators, as changes in interest rates may adversely affect the value of a firm as well as the stability of the financial system. The thesis contains three inter related empirical studies on the interest rate risk exposure of Australia financial firms. The first empirical study develops a novel interest rate term structure model for Australia in terms of three underlying factors: level, slope, and curvature and evaluates Australian financial firms’ exposure to these factors in a GARCH-M framework. The value of financial firms are found to be negatively affected by the change in interest rate level factor, while the value of non-financial firms are positively affected by the change in interest rate level factor. Small banks and insurance companies demonstrate positive exposure to the change in the slope factor. Real estate firms exhibit negative sensitivity to the change in the curvature factor. Though the interest rate level is found to be the most important factor, ignoring the slope and curvature factors could lead to an underestimation of the interest rate risk exposure of financial firms. These findings are robust to controlling for the orthogonalised market return, time-varying equity risk premium and financial crises. The second study is the first attempt to examine whether interest rate factors are priced in financial stock returns in an augmented Fama-French (1993) model. This study examines the pricing of Australian financial firm stocks using five common risk factors: the market risk, firm size, book-to-market ratio, long-term interest rate and term premium. The latter two factors have not been previously considered for pricing Australian stocks within the Fama-French framework. The market risk and term premium are priced in equity returns of financial firms, but the size and book-to-market factors are not priced in their equity returns. The third study provides new evidence for the transmission of global interest rate and return shocks to Australian financial stock returns using a Dynamic Conditional Correlation (DCC) GARCH model. Australian banks exhibit negative exposure to changes in both domestic and US interest rates, while US banks have only negative exposure to domestic interest rates. In addition, US interest rate volatility is found to be an important predictor of Australian bank stock return volatility. The time-varying conditional correlation between Australian and US financial stock returns is explained in terms of economic fundamentals and international financial crises. The results suggest that conditional return correlation increases during financial crises. The conditional correlation increases during the contractionary periods of the US economic cycle. Further, the net capital flow between Australia and the US is found to have a positive influence on the conditional correlation. This thesis extends the literature through an in-depth analysis of the domestic and foreign interest rate risk exposure of Australian financial firms. This research is important for the managers of financial firms and investors in order to design interest rate risk management strategies to cope with domestic and foreign interest rate movements. The findings of this thesis are also relevant to regulators for assessing the vulnerability of the Australian financial sector to global financial shocks.
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譚丹琪. "Hedging interest rate risk with interest rate futures." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/44141351315523049026.
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Hou, Yuanfeng. "Essays on credit risk, interest rate risk and macroeconomic risk /." 2003. http://www.gbv.de/dms/zbw/558224261.pdf.
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Lin, Kun-San, and 林昆三. "Bank interest rate and liquidity risk management." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/69244232996948162300.
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碩士國立臺灣大學
財務金融學研究所
94
The interest rate and liquidity risk management of the bank is very important element in the Asset Liability Management (ALM). With the deregulation and internationalization of financial environment and the greater price competition among financial industry, bank interest rate spread is compressed and the profit is decreased. Therefore, it becomes even more important for banks to manage interest rate risk and the liquidity risk to maintain on adequate level of liquidity and to protect its net interest income from being influenced by fluctuation of interest rate. Results from this work can provide valuable references: 1. Find the factors with the influence interest rate. 2. Establish the measuring criteria of the interest rate and the liquidity risk and a better proformance of Asset and Liability committee. 3. Manage interest rate and liquidity risk. 4. Utilize financial instruments to manage the risk. According to the significant reform brought by the R.O.C. Statements of Financial Accounting Standards No. 34 “Accounting for Financial Instruments”, the enterprises are required to measure their financial instruments based on the fair value. This research also analyses the impacts of No. 34 to Asset and Liability allocation and liquidity, and give the suggestions to manage this problem.
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Caldeira, Miguel costa. "Interest rate risk model in banking book." Master's thesis, 2019. http://hdl.handle.net/10362/72924.
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The aim of this project is to create an interest rate model for Banco CTT’s Banking Book capable to meet the upcoming regulatory requirements as well as internal demands driven by recent portfolio expansion and expectations of future interest rate normalization after a long period marked by a negative interest rate environment. Upon the results obtained, it is clear that Bank’s exposure to interest rate risk is stable and within the limits defined by regulatory authorities. However, veracity of the model should be continuously assessed, and structural balance sheet adjustments should be performed so that interest rate exposure is aligned with its overall low risk appetite.
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Hsieh, Shu-Ting, and 謝書婷. "The Interaction between Interest Rate Risk and Credit Risk of Adjustable Rate Mortgage." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/79045195276392263089.
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碩士國立臺灣大學
財務金融學研究所
97
The article uses a bivariate pricing lattice to observe different interest rates and housing prices. Then we use loan-to-value ratio and payment-to-income ratio to set the default conditions. And the probabilities of default are then calculated. We have sensitivity tests that describe the changes of the probabilities of default due to the changes of different variables including initial interest rate, mean-reverting speed, volatility of interest rate, cash service flow, volatility of house price and correlation coefficient between interest rate and housing price. The conclusions are as follows: (1)Under the same condition except that interest rate settings are different, the probabilities of default of adjustable rate mortgages are higher than which of fixed rate mortgages. (2)Initial interest rate, volatility of interest rate, cash service flow and volatility of housing prices appear to be positively related to the probabilities of default. (3)Mean reverting speed of interest rate and correlation coefficient between interest rate and housing price appear to be negatively related to the probabilities of default.
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凃宗旻. "Pricing convertible bonds with credit risk and interest rate risk." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/45694385753897459325.
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Tai, Hui-Hsin, and 戴慧欣. "Joint Model Calibration of Market Risk, Credit Risk and Interest Rate Risk." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/13753958457382874192.
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Chung, Jui-shiung, and 鍾瑞雄. "Interest Rate and Bank Foreign Exchange Risk-taking." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/68509236274222042622.
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碩士國立臺灣科技大學
財務金融研究所
102
After financial crisis, whole world enter a low interest-rate environment. And the spread between depositing rate and lending rate which is on behalf of bank profit decreases. This paper tries to know that how do banks react in Taiwan under this situation. Will they take more foreign exchange risk to pursue profit? Based on above motivation, this paper uses approximately 200 quarterly observations on 27 banks in Taiwan over the period 2007.09-2013.06 and attempts to provide empirical research on the relation between interest rate and foreign exchange risk. We use value at risk of foreign exchange as a proxy for foreign exchange risk and experiment with various interest rates to robust our results, including a short-term rate, a long-term rate, the central-bank rate, a bank-level lending rate, and a bank-level spread. And further, trying to examine the interaction effect between interest rate and bank size, holdings, and financial crisis. The empirical results are unlike Delis and Kouretas (2011) research: there is a strong negative relation between interest rate and bank’s risk-taking Instead, these results present strong empirical evidence that low-interest rate indeed decrease bank foreign exchange risk-taking. There is a positive relation between them. In addition, there is interaction effect between interest rate and bank size. The relation between interest rate and foreign exchange risk differs depend on the size of bank. With bigger size of bank, the relation between interest rate and foreign exchange risk is more positive. And with smaller size of bank, the relation between interest rate and foreign exchange risk is more negative. And before financial crisis, bank’s foreign exchange risk is significant higher than the period after financial crisis. But the interaction effect between in interest rate and holding, financial crisis is not significant.
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Teichert, Max. "The interest rate risk of banks: current topics." Doctoral thesis, 2018. https://doi.org/10.25972/WUP-978-3-95826-071-9.
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Die vorliegende Dissertation beschäftigt sich mit dem Zinsänderungsrisiko von Banken. Sie bearbeitet Themen mit hoher aktueller Relevanz angesichts gegenwärtiger Entwicklungen in der Geldpolitik, der Volkswirtschaftslehre und der Bankenregulierung. Im ersten Teil werden vier Grundlagen gelegt. Erstens wird die moderne Auffassung des Bankgeschäfts vorgestellt, der nach Banken Geld in Form von Ersparnissen schaffen, wenn sie Kredite gewähren. Mit dieser Auffassung gehört die Übernahme von Zinsänderungsrisiken zum normalen Bankgeschäft. Zweitens wird ein Überblick über die Mikroökonomie des Bankgeschäfts gegeben, in dem der jüngst vollzogene Wechsel zum Paradigma des Risikos dargestellt wird. Unter diesem Paradigma sind Banken wesentlich Risikonehmer auch von Zinsänderungsrisiko. Drittens wird die Geldtheorie der Transmissionskanäle zusammengefasst, wobei der Fokus auf dem zuletzt starke Beachtung findenden Risikoneigungskanal liegt. Dieser Transmissionskanal stellt auch eine Verbindung zwischen der Geldpolitik und der Übernahme von Zinsänderungsrisiko durch Banken her. Viertens werden Ansätze und Spezifika der Behandlung des Zinsänderungsrisikos von Banken in der ökonomischen Forschung zusammengetragen. Das ist das Handwerkszeug für die Erarbeitung neuer Forschungsbeiträge. Im zweiten Teil werden drei Erweiterungen entwickelt. Die erste Erweiterung begegnet dem nahezu vollständigen Fehlen von spezifischen Daten zum Zinsänderungsrisiko von Banken in Deutschland mit einer umfassenden Auswertung allgemeiner, öffentlich verfügbarer Statistiken. Es zeigt sich, dass das Zinsänderungsrisiko von Banken in Deutschland über dem Durchschnitt des Euroraums liegt und einem steigenden Trend folgt, der sich insbesondere aus einer Verschiebung hin zu kurzfristigerer Refinanzierung speist. Von den unterschiedlichen Arten von Banken in Deutschland präsentieren sich Sparkassen und Genossenschaftsbanken als besonders exponiert. Die zweite Erweiterung untersucht die Veränderungen der Zinsstruktur in Deutschland und nimmt damit die zweite Komponente des Zinsänderungsrisikos neben der Position der Banken in den Blick. Analysen historischer sowie prognostizierter Veränderungen weisen auf ein sinkendes Zinsänderungsrisiko hin. Auch auf Basis einer ergänzenden Szenarioanalyse ergeben sich konkrete Kritikpunkte an jüngst auf internationaler Ebene beschlossenen regulatorischen Standards sowie genaue Vorschläge zur Ergänzung im Rahmen ihrer Implementierung. Die dritte Erweiterung adressiert ein mögliches Streben nach Rendite (search for yield) von Banken bei der Übernahme von Zinsänderungsrisiko, die geringere Profitabilität zu höherer Risikoübernahme führen lässt. Ein theoretisches Modell führt dieses Verhalten auf eine plausible Nutzenfunktion von Bankmanagern zurück. Eine empirische Untersuchung belegt die statistische Signifikanz und ökonomische Relevanz mit Daten aus DeutschlandThis book produces three main results. First, from publicly available statistics, it can be inferred that the interest rate risk from on-balance sheet term transformation of banks in Germany exceeds the euro area average and is bound to increase even further. German banks push for shorter-term funding and hardly counteract the increased demand for longer-term loans. Within Germany, savings banks and cooperative banks are particularly engaged. Second, the supervisory interest rate shock scenarios are found to be increasingly detached both from the historic and the forecasted development of interest rates in Germany. In particular, German banks have been exposed to fewer and smaller adverse changes of the term structure. This increasingly limits the informative content of mere exposure measures such as the Basel interest rate coefficient when used as risk measures as is common practice in banking supervision and economic research. An impact assessment further supports the conclusion that the least that is required is a more comprehensive set of shock scenarios. Third and finally, there is a reasonable theoretical rationale and there is strong empirical evidence for banks' search for yield in interest rate risk. In addition to the established positive link between the term spread and the taking of interest rate risk by banks an additional negative link can be explained theoretically and there is significant empirical evidence for its existence and relevance. There is even a threshold of income below which banks' search for yield in interest rate risk surfaces openly
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Santos, Maria Manuela Pinto. "Hedging a bank´s interest rate risk with interest rate swaps accouting treatment and auditing procedures." Master's thesis, 2018. http://hdl.handle.net/10362/49555.
Full textAbstract:
Interest rate risk is one of the most crucial types of risk that banks face as financial intermediaries. This risk can be hedged using traditional methods, like duration matching, or using derivatives such as interest rate swaps, so that banks face less interest rate uncertainty. Hedging with derivatives also has implications for the accounting part. In the light of the IFRS 9, as the new prevailing accounting regime in Europe, this thesis presents the hedge accounting treatment by banks, highlighting the auditor responsibilities in the context of these instruments
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LIN, YI-CHING, and 林怡菁. "A Study on the Interest Rate Risk of the Interest Sensitive Annuity." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/nxbx64.
Full textAbstract:
碩士朝陽科技大學
保險金融管理系碩士班
93
The life insurance company to the equal sensitive of the market interest rate, the Interest Sensitive Annuity Insurance in recent two years of best-selling reduce the connection with the market interest rate. The Interest Sensitive Annuity property and the bank Certificate of Deposit to connect near, pass by it to declared interest rate is along with bank of two years the periodical savings deposit interest rate to float, the most high can add 1.5 ﹪, lowest can reduce 1﹪. At present the market interest rate will go up gradually, the regulator worries the Interest Sensitive Annuity asset to install, can''t respond the trend of the interest rate rising quickly, will cause the management burden of the life insurance company. Therefore manage the policy of the organization leading in the regulator, from 2005-06-01, new insurance contract for declared interest rate upper limit to change to the government bond, descend the limit then not to zero. This research explores the variety of declared interest rate for the Interest Sensitive Annuity with asset and liability to do an analysis. The empirical results indicate that in this text model suppose under, when expectation in the future the market interest rate rises, new system can make the life insurance company produced the surplus, reduce the interest rate risk brings of finance crisis.
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Wei-Lun, Liang, and 梁瑋倫. "An Empirical Study of the Interest Rate Parity in Australia." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/26509167926721117452.
Full textAbstract:
碩士國立高雄應用科技大學
金融資訊研究所
99
The aim of this paper is to examine whether the interest rate parity is truth or not, applying the Australian data from January 1990 to December 2010. A variety of time-series methodologies, cointegration test, and causality test, error correction models, are applied to investigate the relationship. The empirical results of the covered interest rate parity(CIRP) are summarized as follows: (1) The empirical results of Johensen’s cointegration show that the cointegration of forward premium and interest rate differential, which implied the CIRP is truth; (2) According to the results of the error correction model it is bi-directional causality between forward premium and interest rate differential。As to the uncovered interest rate parity (UIRP), the empirical results show as follows: (1) The empirical results of Johensen’s cointegration support there is a cointegration between forward exchange rate and expected futher exchange rate, which implied the UIRP is truth; (2) According to the results of the error correction model it is bi-directional causality between forward exchange rate and expected futher exchange rate。
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Lin, Yen Cheng, and 林彥丞. "Measuring Interest Rate Risk and Credit Risk of Credit Default Swaps." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/63429674998181815566.
Full textAbstract:
碩士國立清華大學
統計學研究所
103
When a bank trades financial instruments, what it faced is mainly interest rate risks. But it also cannot ignore the potential loss caused by debtors’ credit downgrades. How to accurately measure and manage both types of risks is an important task for all banks. In this thesis, we examine how to derive the default intensity and corresponding probability of default in the credit default swap (CDS), and then combine it with the risk-free rate. We then use Dynamic Nelson-Siegel model to estimate this combined structure. In the last stage, we use Monte Carlo method to simulate ten day Value at Risk as a measure for Banks' risk-based capital requirement.