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 …

shocks to the risk factors, the models and instruments, and the results. It presents the stress test methodology and also the …

pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally …

, it is difficult to choose an appropriate bond for hedging among available bonds and to calculate duration. Third …/methodology/approach – The proposed design is a model-driven enterprise system. Findings – The proposed system integrates the complex risk … management into the enterprise architecture. It can merge, import, and share resource related data across managements …

the supply of commercial and industrial (C&I) loans is constrained. Hedging and bank capital regulation provide reasons …

importance of hedging theories and to look at the detailed risk management practices of companies. Findings – The research …Purpose – The purpose of this paper is to examine the interest rate risk management (IRRM) practices of UK companies … findings confirm that all five theories of financial risk management have some support in practice. However, while 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 …