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rate risk and prepayment risk, and therefore eliminates the need of periodic rebalancing of a portfolio of MSR, which is …
amount of portfolio rebalancing and therefore reduces the cost of MSR portfolio hedging. Practical implications – The paper …
these instruments in the banking in- dustry which is heavily exposed to credit risk. However, while recent literature mainly …
should be considered as viable futures products in financial portfolios for risk management. … commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and …
Interest rate derivatives on major currencies, with notional outstanding amounts adding up to hundreds of trillions, are mostly indexed on Libor and Euribor benchmarks, as are hundreds of billions in loans to enterprises, mortgages and other retail loans to the real economy. Yet, the prevailing...
complement other risk management practices such as liquidity risk and contagion analysis carried out by the relevant supervisors. …This technical note on Mexico’s Financial Sector Assessment Program update presents an overview of the risk … management practices and stress test results carried out for the Mexican commercial banks and the insurance sector. The stress …
regulatory framework and risk management practices in financial institutions active in these markets. The most important …
This paper discusses key findings of the Second Review Under the Stand-By Arrangement for Peru. The economy continued to perform well in 2004. Real GDP grew by 5.1 percent, inflation was 3.5 percent at end-December, and the fiscal deficit of the combined public sector narrowed to 1.1 percent of...
shocks to the risk factors, the models and instruments, and the results. It presents the stress test methodology and also the …
portfolio to be hedged against interest rate risk. Design/methodology/approach – In this paper, a general model is developed to … against interest rate risk. Originality/value – An innovative model has been developed that helps create a portfolio of m …