Risk on interest rate derivatives
Found 7 free book(s)
Delta risk on interest rate derivatives - Eric Benhamou
www.ericbenhamou.netDelta risk on interest rate derivatives The concept of delta risk on interest rate derivatives is a generalization of the traditional one of a single asset option.
Does a Central Clearing Counterparty Reduce Counterparty Risk?
www.mit.eduReview of Asset Pricing Studies / v 1 n 1 2011 uncleared OTC derivatives of equities, interest rates, commodities, and foreign exchange, among others.
Advisory on Interest Rate Risk Management (the advisory ...
www.ffiec.govFrequently Asked Questions Interagency Advisory on Interest Rate Risk Management . Risk Management/Oversight . 1. How should financial institutions determine which IRR vendor models are
Non standard interest rate caps and floors - Eric Benhamou
www.ericbenhamou.netNon standard interest rate caps and floors Non standard interest rate caps and floors have been developed by marketers and financial engineers to respond to the need ...
FRM - Foundations of Risk Management
www.gocharter.com.twFRM Foundations of Risk Management – P.4 Within credit risk: Describe and differentiate between exposure and recovery rate Describe credit event and how it may relate to market risk
Financial Instruments - EY
www.ey.comIFRS 9 Financial Instruments Roadmap FVOCI (no recycling) Debt (including hybrid contracts) Derivatives Equity (at instrument level) Conditional fair value option (FVO)
Risk Measurement: An Introduction to Value at Risk - exinfm
www.exinfm.comRisk Measurement: An Introduction to Value at Risk Thomas J. Linsmeier and Neil D. Pearson* University of Illinois at Urbana-Champaign July 1996 Abstract