Interest rate model risk: an overview doc
... 55 Interest rate model risk: an overview Rajna Gibson, FrancËois-Serge Lhabitant, Nathalie Pistre, and Denis Talay Model risk is becoming an increasingly important concept not only in ®nancial valuation ... 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...
Ngày tải lên: 15/03/2014, 02:20
... supersymmetry and powerful principles of internal consistency, it incorporates both gravity and quantum mechanics and could answer many of the questions generated by the standard model. If string ... Fermilab and KEK are conducting these important experiments. Gravity, the Planck Scale, and String Theory The very short length scale of grand unification is intriguingly close to another impor...
Ngày tải lên: 12/02/2014, 16:20
Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot
... the model, for example in the framework of Blanchet-Scaillet and Jeanblanc (2001). References [1] Avellaneda, M., and Newman, J. (1998). Positive interest rates and nonlinear term structure models. ... www.damianobrigo.it Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest- Rate Model Damiano Brigo Aur´elien Alfonsi Credit Models Banca I...
Ngày tải lên: 06/03/2014, 04:21
Wireless Network Security: An Overview docx
... they transmit in non-overlapping adjacent channels shown in Figures 7 and 8. If multiple APs overlap in transmission ranges in the same channel, performance of wireless LAN will be significantly ... system itself complex and brings more and more security vulnerabilities and loopholes and attackers can exploit the vulnerabilities available in any part of the network and can enter into the...
Ngày tải lên: 22/03/2014, 15:21
The Role of Interest Rate Swaps in Corporate Finance doc
... transactions costs. As an example, they note that it can be cheaper to sell an interest rate swap than to call and refund outstanding fixed -rate debt. 4. A COMPARISON OF INTEREST RATE FUTURES AND INTEREST ... of Interest Rate Swaps in Corporate Finance Anatoli Kuprianov A n interest rate swap is a contractual agreement between two parties to exchange a series of intere...
Ngày tải lên: 22/03/2014, 17:20
Saving in Developing Countries: An Overview doc
... Republic of Korea and Mexico), positive in others (Ghana and Turkey), and negligible in the rest, likely reflecting different emphases on price and quantity channels (Bandiera and others 2000). ... through populist policies, changes in intertemporal relative prices (temporarily lower real interest rates and nominal interest rates and appreciated real exchange rates), wealth effects (perce...
Ngày tải lên: 22/03/2014, 21:20
WORKING PAPER SERIES NO. 393 / SEPTEMBER 2004: THE DETERMINANTS OF THE OVERNIGHT INTEREST RATE IN THE EURO AREA doc
... of demand deposits as reserves. Those demand deposits are assumed to depend on an interest rate as opportunity cost. Therefore, if the interest rate changes, demand for deposits changes, and proportionally ... facility and lending to other banks. The central bank in the model supplies liquidity in order that commercial banks can fulfill demand for reserves at an interest rate...
Ngày tải lên: 22/03/2014, 23:20
Báo cáo khoa học: "BUILDING NON-NORMATIVE SYSTEMS - THE SEARCH FOR ROBUSTNESS AN OVERVIEW" doc
Ngày tải lên: 24/03/2014, 01:21
Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc
... the €200 banknote. AN ECONOMIC CAPITAL MODEL INTEGRATING CREDIT AND INTEREST RATE RISK IN THE BANKING BOOK 1 by Piergiorgio Alessandri 2 and Mathias Drehmann 3 1 The views and analysis ... approach. From the perspective of an integrated risk management framework, standard interest rate risk analysis used at banks and for regulatory purposes has another important drawba...
Ngày tải lên: 29/03/2014, 13:20