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Understanding and managing interest rate risks
Chen, Ren-Raw - 1996
Persistent link: https://www.econbiz.de/10000620475
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Understanding and managing interest rate risk at banks
Acharya, Viral V. - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 218-231
Persistent link: https://www.econbiz.de/10011974365
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Valuation and risk management of interest rate derivative securities
Leithner, Stephan - 1992
Persistent link: https://www.econbiz.de/10013417892
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Hedging Interest Rate Risks with Futures, Swaps and Options
Breeden, Douglas T. - 2015
basics of hedging interest rate risks with futures, swaps and options. While the assets that are the focus are fixed rate …
Persistent link: https://www.econbiz.de/10013017546
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Pricing catastrophe swaps with default risk and stochastic interest rates
Lo, Chien-Ling; Chang, Carolyn C. W.; Lee, Jin-Ping; … - In: Pacific-Basin finance journal 68 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013332712
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Derivatives markets and managed money : implications for price discovery
Arburn, Gregory; Harper, Laura - In: The international journal of business and finance … 13 (2019) 1, pp. 53-61
Persistent link: https://www.econbiz.de/10012005806
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Hedging, Market Concentration and Monetary Policy : A Joint Analysis of Gilt and Derivatives Exposures
Pinter, Gabor; Walker, Danny - 2023
We use granular data sets – merged across the UK government bond, interest rate swap, options and futures markets – to …
Persistent link: https://www.econbiz.de/10014349465
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Hedging mortgage-backed securities with treasury bond futures
Batlin, Carl A. - In: The journal of futures markets 7 (1987) 6, pp. 675-693
Persistent link: https://www.econbiz.de/10003483036
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Bank interest rate risk management
Vuillemey, Guillaume - In: Management science : journal of the Institute for … 65 (2019) 12, pp. 5933-5956
Persistent link: https://www.econbiz.de/10012146909
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
created a large mispricing between the market for German and Italian government bonds and their respective futures contracts … scarcity of bonds, resulting from the asset purchases, drove a wedge between the futures contracts and the underlying bonds …
Persistent link: https://www.econbiz.de/10012062155