Interest Rate Forecasting
Forecasting Interest Rates.
Structural models are an attempt to determine causal relationships between various economic …
Will Basel III Kill Credit Models?
Basel III, with its requirement that banks risk-weight their assets to calculate their capital levels, will bring about sweeping changes in the way banks assess the credits on their books. Banks may need to rely less on the types of stochastic models they’ve used in the past, which plot hundreds of possible scenarios to determine a reasonable probability of default.
Principles for the Management of Credit Risk – consultative document
While financial institutions have faced difficulties over the years for a multitude of reasons, the major cause of serious banking problems continues to be directly related to lax credit standards for borrowers and counterparties, poor portfolio risk management, or a lack of attention to changes in economic or other circumstances that can lead to a deterioration in the credit standing of a bank’s counterparties. This experience is common in both G-10 and non-G-10 countries.
August 21, 2013
Tagged banking, Basel II, Basel III, Capital Adequacy Ratio, Credit risk, Economics, finance, financial economics, Financial Markets, Financial risk modeling, Financial Services, FRM, Risk, Risk management
Duration and Portfolio Immunization
Duration and Portfolio Immunization. Macaulay duration … Example. Bond Market value Portfolio weight Duration. A $10 million 0.10 4. B $40 million 0.40 7.
August 20, 2013
Tagged capital markets, Debt Securities, Financial Education, Financial Markets, Financial risk, Financial Securities, Fixed Income, Hybrid Securities, Immunization, Interest Rate, investments, Market risk, middle office, portfolio, PRM, Risk management
Swaps: Interest rate swap duration
Interest rate swaps have a duration?
August 20, 2013
Tagged CFA, Derivative (finance), Derivatives, Duration, ETD, finance, financial economics, Financial Markets, Financial risk, FRM, Future, IRS, Market risk, mathematical finance, OTC, PRM, Swap