Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 27 for “"Interest Rate Risk"”.
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Financial intermediation and interest rate risk
This thesis analyses the link between interest rate risk faced by financial intermediaries in the G-10 countries, their balance sheet composition and national bank regulation. The regulatory authorities both in the US and in Europe increasingly emphasise the issue of bank interest rate exposure. …
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Retail deposit pricing and interest rate risk
… work done on the pricing of such deposits or the interest rate risk posed by such deposit balances. In this thesis we address the pricing of retail deposits in a dynamic, general equilibrium framework in order to draw conclusion regarding the important time series relationship between deposit and …
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Stochastic programming models for interest-rate risk management
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1994.
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Bank hedging in futures markets: an integrated approach to exchange and interest rate risk management
This study investigates the simultaneous use of interest rate and currency futures markets to hedge the exchange and interest rate risks faced by banks. Banks in this study accept short-term variable rate deposits, hold many different foreign currencies, and make long-term fixed rate loans. The …
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The Performance Of Alternative Interest Rate Risk Measures And Immunization Strategies Under A Heath-Jarrow-Morton Framework
… for modeling the term structure and managing interest rate risk. Yet risk management strategies in the form of immunization portfolios using duration, convexity, and M-square are still widely used in bond portfolio management today. This study addresses the question of how traditional risk …
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The Effects of Multifactor Term Structure Models on the Valuation of Insurance
… the importance of the underlying assumption of interest rate movements when valuing insurance. Movements in interest rates affect the present value of both property-liability and life insurance obligations. One approach to understanding the amount of interest rate risk inherent to insurers is to …
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Optimal asset allocation and annuitisation in a defined contribution pension scheme
… We refer to this model as the inflation risk model. The pensioner in the inflation risk model has access to risk less (cash) and risky (equity) investment and to nominal and/or real annuities. The solution of this type of problem using numerical mathematics is presented in detail. We …
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An Empirical Analysis of Commercial Bank Profitability in Financially Liberalized Markets
… investigates the determinants of bank interest margin (NIM) and noninterest income (NII) using a system estimation approach for all commercial banks in a group of 28 financially liberalized countries during the period between 1997 and 2004. The empirical results generally suggest that …
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Exchange rate and interest rate exposure of UK non-financial firms and industries
Exchange rate and interest rate risk have been documented as the most managed financial risks by most UK non-financial firms and industries. This is probably because of the severe adverse effects that contrary movements in these financial risks can have on the value of the firm or industry. …
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The Causes and Effects of Commercial Bank Participation in the Federal Home Loan Bank System
… advances. Since FHLB policies may enable risk-taking behavior by the System's member institutions, this research evaluates the impact of the FHLBs on community bank members, local consumers, and local markets. Results suggest that commercial bank liquidity is enhanced by and managed with …
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Study of the Accounting Classification of Convertible Securities: A Market Analysis
… are related to convertible security systematic risk. This work provides evidence concerning how accounting and interest rate risk measures relate to market risk measures of convertible securities. An alternative market-based classification scheme is compared to the traditional contractual form …
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Risk Management Practices in Saudi Listed Companies: An Institutional Perspective
… sociology perspective to examine financial risk management practices adopted by Saudi listed companies and identify the factors that influence these practices. In Islamic shariah law, using conventional derivatives is prohibited and so this thesis aims to determine if there is an …
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The Development and Empirical Tests of an Explanatory Model for Daily Changes in The Treasury Bill Cash-Futures Basis
Managing the risk associated with unexpected changes in interest rates is a problem facing borrowers, lenders and fixed income security dealers. Financial instrument futures contracts were created to provide a mechanism to reduce interest rate risk. If the price of the futures contract and the …
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3-month bond option strategies: an analysis of performance from 1998 to 2010 in the South African market
… financial crisis, investors have become more risk averse in investing in equities and have increased their holdings in bonds as they are believed to be less risky. However, South African interest rates have been volatile over the past decade due to changes in the inflation rate. This has …
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A Firm-Level Model for Commercial Banks Servicing Agriculture: A Multi-Stage Stochastic Programming Approach
… by alternative funds; (2) alternative funds aid interest rate risk management; (3) alternative funding is advantageous when deposit funds are declining; (4) alternative funds are needed to expand loan volume in periods of high loan demand; (5) expansion of the collateral base may not be needed; …
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Three Essays on Financial Institutions and Real Estate
… on bank and thrift holding company (BHC and THC) risk and returns. The first essay uses risk measures derived from BHC and THC stock prices, while the second essay uses risk measures based upon BHC and THC bond prices. The third essay studies the impact of BHC investment in real estate on risk and …
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Essays on banking
… of such imperfections on the measurement of interest rate risk. The first chapter is an empirical study on real resources operating costs in Portuguese banking. The approach followed is the stochastic cost frontier, because this methodology allows the simultaneous estimation of measures of …
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Option hedging error in commodity markets
… are a common practice to reduce or specify the risk of an option position. In most institutions, it takes place daily. The hedge coefficients used are often determined by the Black Scholes option pricing model and are commonly referred to as the “greeks”. Although the flaws of the Black Scholes …
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Hedging Canadian short-term interest rates : the BAX market
… fixed income securities in Canada. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal of this thesis. The specific futures contract analyzed in this thesis is the Canadian Bankers' Acceptance Futures contract, the BAX, which was …
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Risk in global infrastructure project financing
… infrastructure projects. Investors face several risks when going into these projects. These risks are even higher when the project is located in a foreign country. This thesis examines the risk exposure of investors and more specifically of lenders when financing foreign infrastructure projects. …
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