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Valuation and risk management of interest rate derivative securities

Leithner, Stephan - 1992

Persistent link: https://www.econbiz.de/10013417892

Managing interest rate risk in the banking book using an optimisation framework

Bogie, Ozdemir; Gokul, Sudarsana - In: Journal of risk management in financial institutions 9 (2016) 4, pp. 373-390

Persistent link: https://www.econbiz.de/10011663117

Longevity risk management and the development of a value-based longevity index

Chang, Yang; Sherris, Michael - In: Risks : open access journal 6 (2018) 1, pp. 1-20

basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …

Persistent link: https://www.econbiz.de/10011811547

Partial splitting of longevity and financial risks : the longevity nominal choosing swaptions

Bensusan, Harry; El Karoui, Nicole; Loisel, Stéphane; … - In: Insurance / Mathematics & economics 68 (2016), pp. 73-83

Persistent link: https://www.econbiz.de/10011492465

Hedging interest-rate risk with term-structure factor models

Martellini, Lionel; Priaulet, Philippe; Fabozzi, Frank J. - In: The handbook of fixed income securities, (pp. 967-985). 2005

Persistent link: https://www.econbiz.de/10003055173

Robust hedging of terminal wealth under interest rate risk and inflation risk

Balter, Anne; Coumans, Lieske; Jong, Frank de - 2021 - This version: November 9, 2021

Persistent link: https://www.econbiz.de/10012664512

Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality

Ignatieva, Ekaterina; Song, Andrew; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 70 (2016), pp. 286-300

Persistent link: https://www.econbiz.de/10011597296

Export, Risiken und Risikomärkte : ökonomische Analyse institutioneller Absicherung

Broll, Udo - 1995

Persistent link: https://www.econbiz.de/10000915590

Risk matters : a comment

Born, Benjamin; Pfeifer, Johannes - 2014

Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk shocks are an important factor in explaining emerging market business cycles. We show that their model needs to be recalibrated because it underpredicts the targeted business...

Persistent link: https://www.econbiz.de/10010354846

Effect of mortgage market risk on mortgage uptake : a case study of mortgage lenders in Kenya

Akenga, Grace Melissa; Olang, Margaret Akinyi; Galo, … - In: Journal of investment and management : JIM 4 (2015) 6, pp. 334-347

Persistent link: https://www.econbiz.de/10011507215

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