Interest Rate Risk Models

Theory and Practice

• Author(s): Anthony G. Cornyn,
• Publisher: Global Professional Publishi
• Pages: 434
• ISBN_10: 1888998040
  ISBN_13: 9781888998047
  
• Language: en
• Categories: Business & Economics / Finance / General , Business & Economics / Interest ,

Description:... � Practical guide for asset-liability managers faced with the decision as to whether to build or buy a financial model
� Topics include modeling cash flows, net investment income versus net portfolio value, projections of interest rates, and volatility

A guide for asset-liability managers and other investment professionals who are faced with the decision of whether to build or buy a financial model to measure, monitor, and help manage their institution's risk exposure. It reviews the evolution of interest rate risk models and evaluates the state-of-the-art models in use.

Includes Modeling cash flows; modeling the term structure; OAS technology; net interest income versus net portfolio value; build versus buy analysis; practical methods for deriving input assumptions; prepayment rates; deposit decay rates; projections of interest rate and volatility.