TAILIEUCHUNG - Interest rate model risk: an overview

I have made a distinction between “illiquid” and “liquid” banks without specifying much in the way of an institutional frame work for distinguishing between the two classes. Indeed, banks that are illiquid in any one period need not be in the next. Being illiquid seems pejorative, but it is not if, at any point in time, it includes banks with the better (forward) retail lending opportunities. Also, with the government’s massive injections of new equity into large banks, their counterparty risk may have been substantially eliminated—as shown by the convergence of LIBOR to the federal funds rate in 2009 | Interest rate model risk an overview Rajna Gibson Francois-Serge Lhabitant Nathalie Pistre and Denis Talay Model risk is becoming an increasingly important concept not only in financial valuation but also for risk management issues and capital adequacy purposes. Model risk arises as a consequence of incorrect modeling model identification or specification errors and inadequate estimation procedures as well as from the application of mathematical and statistical properties of financial models in imperfect financial markets. In this paper the authors provide a definition of model risk identify its possible origins and list the potential problems before finally illustrating some of its consequences in the context of the valuation and risk management of interest rate contingent claims. 1. INTRODUCTION The concept of risk is central to players in capital markets. Risk management is the set of procedures systems and persons used to control the potential losses of a nancial institution. The explosive increase in interest rate volatility in the late 1970s and early 1980s has produced a revolution in the art and science of interest rate risk management. For instance in the US in 1994 interest rates rose by more than 200 basis points in 1995 there were important nonparallel shifts in the yield curve. Complex hedging tools and techniques were developed and dozens of plain vanilla and exotic derivative instruments were created to provide the ability to create customized nancial instruments to meet virtually any nancial target exposure. Recent crises in the derivatives markets have raised the question of interest rate risk management. It is important for bank managers to recognize the economic value and resultant risks related to interest rate derivative products including loans and deposits with embedded options. It is equally important for regulators to measure interest rate risk correctly. This explains why the Basle Committee on Banking Supervision 1995 1997 issued .

• Ngân hàng - Tín dụng
• Asymptotic Expansion
• Homogenisation and Multiscale
• Topology Optimisation
• Composite Structures
• constituent materials
• materials and structure
• Laminated shells
• Asymptotic theory for thin two ply shells
• Thin two ply shells
• Kinematic formulae
• Singular perturbation
• Banach space
• Evolution equation
• Initial layer
• Radiative transfer
• Neutron transport
• measures suggest
• surprising given
• tài liệu báo cáo nghiên cứu khoa học
• cách trình bày báo cáo
• kiến thức toán học
• báo cáo toán học
• công trình toán học