Interest rate volatility: understanding, analyzing, and managing interest rate risk and risk-based capital
Irwin Professional Pub., Feb 1, 1996 - Business & Economics - 175 pages
Takes a multifaceted look at the major issues of interest rate risk management, including a controversial new tie-in to risk-based capital. This definitive text inlcudes a review of the major types of risk affecting financial institutions and the critical issues affecting financial institutions and the critical issues affecting risk-based capital, included the impact on asset-liability management.
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Recent Banking Problems and Changes in Law
Proposals for Regulating Interest Rate Risk
Commercial Bank Comparisons
9 other sections not shown
approach assets and liabilities bank capital bank equity bank regulators bank's Basle Basle Committee bond capital adequacy capital charge capital ratios change in assets change in equity changes in interest Chapter commercial banks convexity correlation credit risk decline different maturities duration effects equation equity value evaluating FDIC FDICIA federal banking agencies Federal Reserve Bank Federal Reserve Board Hanweck increase instruments interest rate changes interest rate risk interest rate sensitivity interest rate volatility IRR index J. P. Morgan leverage loans market risk market value measures of interest ments mortgage negative off-balance sheet off-balance sheet items parallel shift percent periods portfolio position price change problem proportional change proposal rate risk exposure regulatory relationship risk capital risk management risk weights risk-adjusted risk-based capital requirements risk-based capital standards RiskMetrics S&Ls securities standard deviation stochastic Table terest tion value at risk value of assets yield curve yield to maturity