Literatura académica sobre el tema "Interest rate and volatility risk"
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Artículos de revistas sobre el tema "Interest rate and volatility risk"
Ho, Thomas S. Y. "Managing Interest Rate Volatility Risk". Journal of Fixed Income 17, n.º 3 (31 de diciembre de 2007): 6–17. http://dx.doi.org/10.3905/jfi.2007.700216.
Texto completoYang, Steve Y. y Esen Onur. "Interest Rate Swap Market Complexity and Its Risk Management Implications". Complexity 2018 (24 de octubre de 2018): 1–20. http://dx.doi.org/10.1155/2018/5470305.
Texto completoInternational Monetary Fund. "Interest Rate Volatility and Risk in Indian Banking". IMF Working Papers 04, n.º 17 (2004): 1. http://dx.doi.org/10.5089/9781451843569.001.
Texto completoMATACZ, ANDREW y JEAN-PHILIPPE BOUCHAUD. "EXPLAINING THE FORWARD INTEREST RATE TERM STRUCTURE". International Journal of Theoretical and Applied Finance 03, n.º 03 (julio de 2000): 381–89. http://dx.doi.org/10.1142/s0219024900000243.
Texto completoHosokawa, Satoshi y Koichi Matsumoto. "Pricing interest rate derivatives with model risk". Journal of Financial Engineering 02, n.º 01 (marzo de 2015): 1550003. http://dx.doi.org/10.1142/s2345768615500038.
Texto completoNouman, Muhammad, Maria Hashim, Vanina Adoriana Trifan, Adina Eleonora Spinu, Muhammad Fahad Siddiqi y Farman Ullah Khan. "Interest rate volatility and financing of Islamic banks". PLOS ONE 17, n.º 7 (26 de julio de 2022): e0268906. http://dx.doi.org/10.1371/journal.pone.0268906.
Texto completoKim, Bomi y Jeong-Hoon Kim. "Default risk in interest rate derivatives with stochastic volatility". Quantitative Finance 11, n.º 12 (15 de abril de 2011): 1837–45. http://dx.doi.org/10.1080/14697688.2010.543426.
Texto completoCarcano, Nicola y Silverio Foresi. "Hedging against interest rate risk: Reconsidering volatility-adjusted immunization". Journal of Banking & Finance 21, n.º 2 (febrero de 1997): 127–41. http://dx.doi.org/10.1016/s0378-4266(96)00031-3.
Texto completoBaños, David, Marc Lagunas-Merino y Salvador Ortiz-Latorre. "Variance and Interest Rate Risk in Unit-Linked Insurance Policies". Risks 8, n.º 3 (6 de agosto de 2020): 84. http://dx.doi.org/10.3390/risks8030084.
Texto completoYoon, Byung-Jo, Kook-Hyun Chang y 홍. 민구. "Long Term Volatility of Interest Rate Swap and Macroeconomic Risk in Korean Market". Journal of Derivatives and Quantitative Studies 21, n.º 3 (31 de agosto de 2013): 255–73. http://dx.doi.org/10.1108/jdqs-03-2013-b0001.
Texto completoTesis sobre el tema "Interest rate and volatility risk"
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.
Texto completoAbiola, 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.
Texto completoFernandes, Maria Helena. "Managing interest rate risk : a comparison of the effectiveness of forecasting and volatility models / M.H. Fernandes". Thesis, North-West University, 2005. http://hdl.handle.net/10394/26.
Texto completoThesis (M.Sc. (Information Technology))--North-West University, Vaal Triangle Campus, 2006.
Yuksel, Ayhan. "Credit Risk Modeling With Stochastic Volatility, Jumps And Stochastic Interest Rates". Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/2/12609206/index.pdf.
Texto completoFONSECA, RODRIGO ALMEIDA DA. "VOLATILITY FORECAST MODEL FOR MARKET INDEX USING FACTORS EXTRACTED FROM CREDIT RISK, INTEREST RATES, EXCHANGE RATES AND COMMODITIES PANELS". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33203@1.
Texto completoIt will be presented a model that is able to extract factors capable of predicting the volatility of IBOVESPA market index, which is representative of Brazilian equity market. This methodology is different from others because it won t use any inputs from equity asset classes. It will be used factors extracted from credit risk, interest rates, exchange rates and commodities data for pricing the volatility of an equity index. Besides that, those factors will be extracted from panels of volatility filtered by GARCH models.
Chandorkar, Pankaj Avinash. "The determinants of UK Equity Risk Premium". Thesis, Cranfield University, 2016. http://dspace.lib.cranfield.ac.uk/handle/1826/11860.
Texto completoWu, Ting. "Essays on the Term Structure of Interest Rates and Long Run Variance of Stock Returns". The Ohio State University, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=osu1276860580.
Texto completoRosa, Francisco Eduardo Lopes Sousa. "Risk neutral probability density for currency options". Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/20601.
Texto completoEste trabalho tem o objectivo de facilitar a previsão para investidores em mercados financeiros. Embora possa ser usado em acções e futuros de petróleo, o principal objectivo é o mercado cambial, mais especificamente, opções de moeda, extraindo com risco neutro a densidade de probabilidade da função através de uma abordagem paramétrica e não paramétrica. Consequentemente, tal foi aplicado a um caso muito recente, em 2019, entre o dólar Norte americano e a libra inglesa, tornando assim mais atractiva a leitura do comportamento da densidade, especialmente com a saída do Reino unido da União Europeia.
This work has the purpose of easing the forecast for financial market investors. Although it can be used on equities and oil futures, the main aim is the Foreign exchange. More so, it is specialized on currency options, extracting then the closer Risk Neutral Probability Density Function through a parametric approach and a nonparametric approach. Subsequently, this was applied to a very recent case, in 2019, between the United States of America dollar and United Kingdom pound, making it more attractive to assess the behaviour of the density, specially linked to the withdrawal of United Kingdom from the European Union.
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Fink, Holger Maria [Verfasser], Claudia [Akademischer Betreuer] Klüppelberg, Christoph [Akademischer Betreuer] Kühn y Christian [Akademischer Betreuer] Bender. "Stochastic processes beyond semimartingales with application to interest rates, credit risk and volatility modeling / Holger Fink. Gutachter: Christoph Kühn ; Christian Bender. Betreuer: Claudia Klüppelberg". München : Universitätsbibliothek der TU München, 2012. http://d-nb.info/1021975931/34.
Texto completoHenrik, Hasseltoft. "Essays on the term structure of interest rates and long-run risks". Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-925.
Texto completoLibros sobre el tema "Interest rate and volatility risk"
Hanweck, Gerald A. Interest rate volatility: Understanding, analyzing, and managing interest rate risk and risk-based capital. Chicago: Irwin Professional Pub., 1996.
Buscar texto completoPatnaik, Ila. Interest rate volatility and risk in Indian banking. Washington, D.C: International Monetary Fund, IMF Institute, 2004.
Buscar texto completoHördahl, Peter. Financial volatility and time-varying risk premia. Lund: Lund University, 1997.
Buscar texto completoMatovu, John. Volatility and jump risk premia in emerging market bonds. [Washington, D.C.]: International Monetary Fund, Middle East and Central Asia Dept., 2007.
Buscar texto completoEdwards, Sebastian. Interest rate volatility and contagion in emerging markets: Evidence from the 1990s. Cambridge, MA: National Bureau of Economic Research, 2000.
Buscar texto completoDamian, Kissane, ed. Interest rate risk management. London: Eurostudy, 1988.
Buscar texto completoMatz, Leonard M. Interest rate risk management. Austin, Tex: Sheshunoff, 2006.
Buscar texto completoNawalkha, Sanjay K. Interest Rate Risk Modeling. New York: John Wiley & Sons, Ltd., 2005.
Buscar texto completoManaging interest rate risk. New York: Quorum Books, 1987.
Buscar texto completoManaging interest rate risk. Cambridge: Woodhead-Faulkner, 1987.
Buscar texto completoCapítulos de libros sobre el tema "Interest rate and volatility risk"
Bakshi, Gurdip, Charles Cao y Zhiwu Chen. "Option Pricing and Hedging Performance Under Stochastic Volatility and Stochastic Interest Rates". En Handbook of Quantitative Finance and Risk Management, 547–74. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-0-387-77117-5_37.
Texto completoGómez-Valle, Lourdes y Julia Martínez-Rodríguez. "Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility". En Mathematical and Statistical Methods for Actuarial Sciences and Finance, 397–401. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-89824-7_71.
Texto completoWu, Lixin. "Volatility and Correlation Adjustments". En Interest Rate Modeling, 225–51. 2nd edition. | Boca Raton, Florida : CRC Press, [2019]: CRC Press, 2019. http://dx.doi.org/10.1201/9781351227421-8.
Texto completoGarcía, Francisco Javier Población. "Interest Rate Risk". En Financial Risk Management, 101–34. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_5.
Texto completoWillsher, Richard. "Interest Rate Risk". En Export Finance, 143–44. London: Palgrave Macmillan UK, 1995. http://dx.doi.org/10.1007/978-1-349-13980-4_17.
Texto completoBilan, Andrada, Hans Degryse, Kuchulain O’Flynn y Steven Ongena. "Interest Rate Risk". En Banking and Financial Markets, 31–60. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-26844-2_3.
Texto completoHo, Thomas S. Y. y Sang Bin Lee. "Local Volatility Interest Rate Model". En Encyclopedia of Finance, 1901–18. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-91231-4_25.
Texto completoMele, Antonio y Yoshiki Obayashi. "Interest Rate Derivatives and Volatility". En Handbook of Fixed-Income Securities, 469–513. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2016. http://dx.doi.org/10.1002/9781118709207.ch20.
Texto completoZagst, Rudi. "Risk Measures". En Interest-Rate Management, 227–71. Berlin, Heidelberg: Springer Berlin Heidelberg, 2002. http://dx.doi.org/10.1007/978-3-662-12106-1_6.
Texto completoZagst, Rudi. "Risk Management". En Interest-Rate Management, 273–320. Berlin, Heidelberg: Springer Berlin Heidelberg, 2002. http://dx.doi.org/10.1007/978-3-662-12106-1_7.
Texto completoActas de conferencias sobre el tema "Interest rate and volatility risk"
Stádník, Bohumil. "IMPROVING THE QUANTIFICATION OF INTEREST RATE RISK". En 12th International Scientific Conference „Business and Management 2022“. Vilnius Gediminas Technical University, 2022. http://dx.doi.org/10.3846/bm.2022.762.
Texto completoSyarifuddin, Ferry. "The Exchange Rate Volatility in Indonesia and Policy Response". En International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.00886.
Texto completoCzech, Katarzyna. "Is a Japanese yen a safe haven? Relationship between Japanese currency and financial market uncertainty". En 3rd International Conference on Administrative & Financial Sciences. Cihan University - Erbil, 2021. http://dx.doi.org/10.24086/afs2020/paper.353.
Texto completoGanchev, Alexander. "INVESTMENT CHARACTERISTICS OF INDONESIAN GOVERNMENT BOND MARKET DURING THE COVID-19 PANDEMIC". En 12th International Scientific Conference „Business and Management 2022“. Vilnius Gediminas Technical University, 2022. http://dx.doi.org/10.3846/bm.2022.825.
Texto completoFoote, W. G. y J. Kraemer. "APL2 implementation of an interest rate volatility model". En Conference proceedings. New York, New York, USA: ACM Press, 1989. http://dx.doi.org/10.1145/75144.75163.
Texto completoMosoiu, Ovidiu, Catalin Cioaca y Ion Balaceanu. "USING THE CAPITAL ASSET PRICING MODEL IN INFORMATION SECURITY INVESTMENTS". En eLSE 2018. Carol I National Defence University Publishing House, 2018. http://dx.doi.org/10.12753/2066-026x-18-220.
Texto completoGeorgiev, Slavi G. y Lubin G. Vulkov. "Simultaneous identification of time-dependent volatility and interest rate for European options". En THERMOPHYSICAL BASIS OF ENERGY TECHNOLOGIES (TBET 2020). AIP Publishing, 2021. http://dx.doi.org/10.1063/5.0041788.
Texto completoYu, Yue y Liu Lan. "The Impact of Interest Rate Marketization on the Interest Rate Risk of Commercial Banks". En 2019 3rd International Conference on Data Science and Business Analytics (ICDSBA). IEEE, 2019. http://dx.doi.org/10.1109/icdsba48748.2019.00045.
Texto completoHe, Haixia. "Interest Rate Risk Management of Commercial Bank under the Background of Interest Rate Liberalization". En 2015 International Conference on Economics, Management, Law and Education. Paris, France: Atlantis Press, 2015. http://dx.doi.org/10.2991/emle-15.2015.70.
Texto completoGerni, Cevat, Selahattin Sarı, Dilek Özdemir y Ömer Selçuk Emsen. "The Effects of Exchange Rate Volatility, Reserve Volatility and Real Interest Rates on Trade: Applications on Transition Economies". En International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00711.
Texto completoInformes sobre el tema "Interest rate and volatility risk"
Edwards, Sebastian. Interest Rate Volatility, Capital Controls, and Contagion. Cambridge, MA: National Bureau of Economic Research, octubre de 1998. http://dx.doi.org/10.3386/w6756.
Texto completoReinhart, Carmen y Vincent Reinhart. What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility. Cambridge, MA: National Bureau of Economic Research, octubre de 2001. http://dx.doi.org/10.3386/w8535.
Texto completoBoudoukh, Jacob, Matthew Richardson, Richard Stanton y Robert Whitelaw. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. Cambridge, MA: National Bureau of Economic Research, julio de 1999. http://dx.doi.org/10.3386/w7213.
Texto completoJohri, Alok, Shahed Khan y César Sosa-Padilla. Interest Rate Uncertainty and Sovereign Default Risk. Cambridge, MA: National Bureau of Economic Research, agosto de 2020. http://dx.doi.org/10.3386/w27639.
Texto completoCarpenter, Jennifer, Fangzhou Lu y Robert Whitelaw. The Price and Quantity of Interest Rate Risk. Cambridge, MA: National Bureau of Economic Research, febrero de 2021. http://dx.doi.org/10.3386/w28444.
Texto completoEdwards, Sebastian y Raul Susmel. Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s. Cambridge, MA: National Bureau of Economic Research, julio de 2000. http://dx.doi.org/10.3386/w7813.
Texto completoDrechsler, Itamar, Alexi Savov y Philipp Schnabl. Banking on Deposits: Maturity Transformation without Interest Rate Risk. Cambridge, MA: National Bureau of Economic Research, mayo de 2018. http://dx.doi.org/10.3386/w24582.
Texto completoCollin-Dufresne, Pierre, Christopher Jones y Robert Goldstein. Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility. Cambridge, MA: National Bureau of Economic Research, septiembre de 2004. http://dx.doi.org/10.3386/w10756.
Texto completoTrolle, Anders y Eduardo Schwartz. A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives. Cambridge, MA: National Bureau of Economic Research, junio de 2006. http://dx.doi.org/10.3386/w12337.
Texto completoCarrasquilla-Barrera, Alberto, Arturo José Galindo-Andrade, Gerardo Hernández-Correa, Ana Fernanda Maiguashca-Olano, Carolina Soto, Roberto Steiner-Sampedro y Juan José Echavarría-Soto. Report of the Board of Directors to the Congress of Colombia - July 2020. Banco de la República de Colombia, febrero de 2021. http://dx.doi.org/10.32468/inf-jun-dir-con-rep-eng.07-2020.
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