Financial risk analytics: a term structure model approach for banking, insurance and investment management
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Chicago [u.a.]
Irwin
1997
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007858385&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XVII, 396 S. graph. Darst. 1 Diskette (9 cm) |
| ISBN: | 0786309644 |
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| 245 | 1 | 0 | |a Financial risk analytics |b a term structure model approach for banking, insurance and investment management |c Donald R. VanDeventer and Kenji Imai |
| 264 | 1 | |a Chicago [u.a.] |b Irwin |c 1997 | |
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Datensatz im Suchindex
| _version_ | 1819377814778937344 |
|---|---|
| adam_text | Introduction 1
Chapter 1
Fixed Income Mathematics 9
1.1 Price, Accrued Interest, and Value 9
1.2 Present Value 12
The Basic Present Value Calculation 12
Calculating the Value of a Fixed Coupon Bond with Principal Paid
at Maturity 13
Calculating the Coupon of a Fixed Coupon Bond with Principal
Paid at Maturity When Value Is Known 14
The Value of an Amortizing Loan 15
Calculating the Payment Amount of an Amortizing Bond When
Value Is Known 16
Calculating the Value of a Floating Rate Bond with Principal Paid
at Maturity 16
1.3 Compound Interest Conventions and Formulas 18
The Future Value of an Invested Amount Earning at a Simple Interest
Rate ofy Compounded m Times per Year for n Periods 19
The Future Value of an Invested Amount Earning at a Simple
Interest Rate ofy Compounded Continuously for n Years 19
Equivalent Annual Percentage Rate 20
The Present Value of a Future Amount If Funds Are Invested at a
Simple Interest Rate ofy Compounded m Times per Year for
n Periods 21
The Present Value of a Future Amount If Funds Are Invested at a
Simple Interest Rate ofy Compounded Continuously for
n Years 22
Calculating the Yield on a Different Compounding Basis 22
1.4 Yields and Yield to Maturity Calculations 24
The Formula for Yield to Maturity 25
Yield to Maturity for Long or Short First Coupon Payment
Periods 26
ix
Calculating Yield to Maturity Using the Newton Raphson
Method 27
1.5 Calculating Forward Interest Rates and Bond Prices 29
Implied Forward Interest Rates on Zero Coupon Bonds 31
Implied Forward Zero Coupon Bond Prices 32
Present Value of a Forward Fixed Coupon Bond 32
Implied Forward Price on a Fixed Coupon Bond 33
Implied Forward Coupon on a Fixed Coupon Bond 34
Other Forward Calculations 34
1.6 Summary 35
Chapter 2
Yield Curve Smoothing 41
2.1 Cubic Spline Yield Smoothing 42
The Mathematical Rationale for the Cubic Polynomial 45
Using Cubic Spline Smoothing to Smooth Yields: A Review 45
Problems with Cubic Splines of Yields 47
Examples of the Use of the Cubic Yield Spline 48
2.2 Cubic Spline Price Smoothing 58
Using Cubic Spline Smoothing to Smooth Zero Coupon
Bond Prices 58
Problems with Cubic Splines of Prices 60
Examples of the Use of the Cubic Price Spline 61
2.3 Maximum Smoothness Forward Rates 63
Deriving Maximum Smoothness Forward Rates 63
Using the Maximum Smoothness Forward Rate Function in
Practice 68
Example of the Use of the Maximum Forward Rate Smoothing
Approach 71
2.4 Smoothing Coupon Bearing Bond Data or Other Data 74
2.5 Conclusion 80
Appendix: Proof of the Theorem 85
Chapter 3
Duration and Convexity: The Traditional Risk
Management Tools 89
3.1 Macaulay s Duration: The Original Formula 90
3.2 Using Duration for Hedging 91
3.3 Duration: The Market Convention 92
The Formula for Yield to Maturity 93
Yield to Maturity for Long or Short First Coupon Payment
Periods 93
Applying the Yield to Maturity Formula to
Duration 94
Modified Duration 96
3.4 The Perfect Hedge: The Difference between the Original Macaulay
and Conventional Durations 97
3.5 Convexity and Its Uses 98
Convexity: A General Definition 98
Convexity for the Present Value Formula 100
Hedging Implications of the Convexity Concept 101
3.6 Conclusion 104
Chapter 4
Duration as a Term Structure Model 109
4.1 What Is a Term Structure Model and Why Do We Need One? 109
4.2 The Vocabulary of Term Structure Models 110
4.3 Ito s Lemma 112
4.4 Ito s Lemma for More than One Random Variable 113
4.5 Using Ito s Lemma to Build a Term Structure Model 113
4.6 Duration as a Term Structure Model 114
4.7 Conclusions about the Use of Duration s Parallel Shift
Assumptions 117
Chapter 5
The Vasicek and Extended Vasicek Models 123
5.1 The Merton Model 124
5.2 The Extended Merton Model 130
5.3 The Vasicek Model 134
5.4 The Extended Vasicek/Hull and White Model 140
5.5 An Example of the Hedging Implications of Term Structure Models
Compared to the Duration Approach 142
5.6 Conclusion 147
Chapter 6
Risk Neutral Interest Rates and European Options
on Bonds 151
6.1 An Introduction to Risk Neutral Interest Rates and the No
Arbitrage Assumption 152
6.2 Relationship between the Expected Short Rate, Expected Risk
Neutral Short Rate, and Forward Rates 155
6.3 A General Valuation Formula for Valuation of Interest Rate Related
Securities in the Vasicek Model 157
6.4 Derivation of the Closed Form Valuation Formula 160
6.5 The Value of European Options on a Zero Coupon Bond 162
6.6 European Puts on Zero Coupon Bonds 166
6.7 Options on Coupon Bearing Bonds 167
6.8 An Example 168
Chapter 7
Forward and Futures Contracts 175
7.1 Forward Contracts on Zero Coupon Bonds 175
7.2 Forward Rate Agreements 179
7.3 Eurodollar Futures type Forward Contracts 181
7.4 Futures on Zero Coupon Bonds: The Sydney Futures Exchange
Bank Bill Contract 182
7.5 Futures on Coupon Bearing Bonds: Example Using the SIMEX
Japanese Government Bond Future 185
7.6 Eurodollar, Euroyen, and Euromark Futures Contracts 187
Chapter 8
European Options on Forward and Futures Contracts 191
8.1 Valuing Options on Forwards and Futures 191
8.2 European Options on Forward Contracts on Zero
Coupon Bonds 193
8.3 European Options on Forward Rate Agreements 194
8.4 European Options on a Eurodollar Futures type Forward
Contract 195
8.5 European Options on Futures on Zero Coupon Bonds 196
8.6 European Options on Futures on Coupon Bearing Bonds 197
8.7 Options on Eurodollar, Euroyen, and Euromark Futures
Contracts 198
Chapter 9
Caps and Floors 201
9.1 Introduction to Caps and Floors 201
9.2 Caps as European Options on Forward Rate Agreements 203
9.3 Forming Other Cap Related Securities 205
Chapter 10
Interest Rate Swaps and Swaptions 207
10.1 Introduction to Interest Rate Swaps 207
10.2 Valuing the Floating Rate Payment on a Swap 208
10.3 The Observable Fixed Rate in the Swap Market 209
10.4 An Introduction to Swaptions 210
10.5 Valuation of European Swaptions 210
10.6 Valuation of American Swaptions 211
Chapter 11
Exotic Swap and Option Structures 213
11.1 Introduction to Exotic Swaps and Options 213
11.2 Arrears Swaps 213
11.3 Digital Options 215
11.4 Digital Range Notes 215
11.5 Range Floaters 216
11.6 Min Max Floaters 217
11.7 Other Derivative Securities 218
Chapter 12
American Fixed Income Options 221
12.1 Introduction to American Options 221
12.2 An Overview of Numerical Techniques for Fixed Income Option
Valuation 223
12.3 Monte Carlo Simulation 223
12.4 Finite Difference Methods 227
12.5 Binomial Lattices 228
12.6 Bushy Trees 229
12.7 Trinomial Lattices 229
12.8 Valuing Securities on the Lattice: European and
American Calls 237
American Call Option 240
Chapter 13
Irrational Exercise of Fixed Income Options 245
13.1 Irrationality 245
13.2 Analysis of Irrationality Criteria for a Powerful Explanation 246
13.3 The Transactions Cost Approach 248
13.4 Irrational Exercise of European Options 249
13.5 Valuing a Zero Coupon Bond with an Irrationally Exercised
Embedded Call Option 251
13.6 The Irrational Exercise of American Options 253
13.7 Implied Irrationality and Hedging 253
Chapter 14
Mortgage Backed Securities 257
14.1 Introduction to the Analysis of Mortgage Backed Securities 257
14.2 Prepayment Speeds and the Valuation of Mortgages 258
14.3 Constant Prepayment Speeds as a Principal Amortization
Assumption 259
Mortgage Payments in Continuous Time 262
Interest Only (10) Cash Flows 262
Principal Only (PO) Cash Flows 263
Mortgage Valuation: No Prepayment 263
Mortgage Cash Flows with Prepayment 263
14.4 Fitting Actual GNMA Data with a Single Prepayment Speed
Model 266
14.5 Can We Forecast Prepayment Rates? 269
14.6 Option Adjusted Spread 276
14.7 The Transactions Cost Approach to Prepayments 278
14.8 Implications for OAV Spread, CMOs, and ARMs 279
Replace OAS with OAV Spread 280
CMOs and ARMs 281
Chapter 15
Nonmaturity Deposits 283
15.1 An Introduction to Nonmaturity Deposits 283
15.2 The Value of the Deposit Franchise 284
15.3 Total Cash Flow of Nonmaturity Deposits 285
15.4 Deposit Valuation with Constant Balances or Known Variation in
Balances 286
Case 15.4.1: Constant Deposit Amount with Constant Fixed Rate on
Deposits 287
Case 15.4.2: Constant Deposit Amount with Floating Rate at
Proportional Spread 288
Case 15.4.3: Constant Deposit Amount with Floating Rate and
Linear Spread 289
Case 15.4.4: Known Future Variation in Deposit Balances 290
15.5 Random Deposit Balances with Constant Interest Rates 291
Case 15.5.1: The Change in Deposit Cash Outflow Is Normally
Distributed 292
Case 15.5.2: Net Deposit Cash Outflows Change Randomly around
a Long Run Mean Level 293
Case 15.5.3: The Percentage Change in Deposits Is Normally
Distributed 294
Case 15.5.4: The Level of Deposits Changes Randomly around a
Long Run Mean Level 295
15.6 The Valuation of Deposits Whose Rates and Balances Vary with
Open Market Rates 296
15.7 Using the Jarrow van Deventer Formula in Practice 300
Appendix: Derivation of Valuation Formulas in Section 15.5 306
Chapter 16
The Valuation of Risky Debt 311
16.1 Introduction to the Value of Risky Debt 311
16.2 The Merton Model of Risky Debt 312
16.3 Risky Debt with Stochastic Interest Rates 314
16.4 Implications of the Valuation of Risky Debt 316
Is Matched Maturity Funding the Best Strategy? 316
Impact of Correlation between Interest Rate Risk and
Asset Values 316
Impact of Asset Volatility on Credit Spreads 318
16.5 Other Approaches to the Valuation of Risky Debt 319
Chapter 17 Foreign Exchange Markets: A Term Structure Model
Approach 323
17.1 Introduction to Foreign Exchange Forwards and Options 323
17.2 Foreign Exchange Forwards 324
17.3 Foreign Exchange Options 325
17.4 Implications of a Term Structure Model Based FX Options
Formula 327
17.5 Improved Accuracy of the Stochastic Interest Rate
FX Model 328
17.6 Extensions of the Stochastic Interest Rate Approach to Foreign
Currency Related Securities Pricing 328
Chapter 18
Alternative Term Structure Models 333
18.1 Introduction to Alternative Term Structure Models 333
18.2 Alternative One Factor Interest Rate Models 334
The CIR Model 334
The Dothan Model 336
The Longstaff Model 337
The Black, Derman, and Toy Model 337
The Black and Karasinski Model 338
18.3 Two Factor Interest Rate Models 338
The Brennan and Schwartz Model 338
The Two Factor CIR Model 339
The Two Factor Vasicek Model 339
The Longstaff and Schwartz Stochastic Volatility Model 340
18.4 The Heath, Jarrow, and Morton Approach 341
Constant Single Factor Volatility 342
Exponentially Declining Volatility 342
CIR Version of HJM 342
Other Volatility Structures 342
Two Factor HJM Modeling 342
18.5 Term Structure Model Selection 343
Which Two Factors? 345
Chapter 19
Estimating the Parameters of Term Structure Models 351
19.1 Introduction to the Estimation of Term Structure Model
Parameters 351
19.2 Traditional Academic Approach 353
19.3 Volatility Curve Approach 354
19.4 Advanced Volatility Curve Approach 355
19.5 Implied Parameters from an Observable Yield Curve 357
19.6 The Best Approach 360
Chapter 20
Hedging and Risk Measurement 369
20.1 Introduction to Hedging and Risk Measurement 369
20.2 Portfolio Selection: What Assets Should We Sell and What Assets
Should We Buy? 370
20.3 What Level of Risk Maximizes Shareholder Value? 372
20.4 How Should the Aggregate Level of Risk Be Measured? 373
20.5 The Best Hedge 376
20.6 Performance Evaluation: Which Managers Did Well? 378
20.7 Risk Adjusted Return on Capital 379
20.8 Summing Up 381
Index 383
|
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| id | DE-604.BV011656949 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T10:16:25Z |
| institution | BVB |
| isbn | 0786309644 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007858385 |
| oclc_num | 35292748 |
| open_access_boolean | |
| owner | DE-703 DE-11 |
| owner_facet | DE-703 DE-11 |
| physical | XVII, 396 S. graph. Darst. 1 Diskette (9 cm) |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Irwin |
| record_format | marc |
| spellingShingle | Van Deventer, Donald R. Imai, Kenji Financial risk analytics a term structure model approach for banking, insurance and investment management Asset-liability management Risk management Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4004436-1 |
| title | Financial risk analytics a term structure model approach for banking, insurance and investment management |
| title_auth | Financial risk analytics a term structure model approach for banking, insurance and investment management |
| title_exact_search | Financial risk analytics a term structure model approach for banking, insurance and investment management |
| title_full | Financial risk analytics a term structure model approach for banking, insurance and investment management Donald R. VanDeventer and Kenji Imai |
| title_fullStr | Financial risk analytics a term structure model approach for banking, insurance and investment management Donald R. VanDeventer and Kenji Imai |
| title_full_unstemmed | Financial risk analytics a term structure model approach for banking, insurance and investment management Donald R. VanDeventer and Kenji Imai |
| title_short | Financial risk analytics |
| title_sort | financial risk analytics a term structure model approach for banking insurance and investment management |
| title_sub | a term structure model approach for banking, insurance and investment management |
| topic | Asset-liability management Risk management Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd |
| topic_facet | Asset-liability management Risk management Risikomanagement Bank |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007858385&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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