Information and Accuracy in Interest-rate-risk SimulationComptroller of the Currency Administrator of National Banks, 1994 - Interest rate futures - 42 pages |
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Common terms and phrases
100 basis points 20 percent actual adjustable-rate loans aggregation amortizing analysis appears approach ARMs assets assume assumptions average maturity BA model banks become bond bottom-line bucket calculate causes changes Chapter characterize collected conclusion core deposits coupon data coupon dispersions create decline in value depending detail determine distributions effect employed environment equal estimated sensitivity estimation error example expected fixed-rate given Hence hold ignoring implies important incentives increase independently institution interest interest-rate risk interest-rate sensitivity large errors less liabilities lifetime caps margin match-funded maturity-estimation error maximum maturity measurement midpoint model differences months mortgages nonamortizing observations original maturity OTS model percent periodic caps portfolio positive possible prepayment produces proposed range real estate loans relatively remaining maturity represent requires residential mortgages result securities significant simulations specific stochastic suggests thrifts Treasury varying WACs WAM-convexity error weighted within-bucket yield curve zero
Bibliographic information
| Title | Information and Accuracy in Interest-rate-risk Simulation Volume 94, Issue 7 of Economic & policy analysis working paper |
| Author | Mike Carhill |
| Publisher | Comptroller of the Currency Administrator of National Banks, 1994 |
| Original from | Cornell University |
| Digitized | Aug 16, 2011 |
| Length | 42 pages |
| Export Citation | BiBTeX EndNote RefMan |