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Credit line use and availability in the financial crisis : the importance of hedging

Berróspide, José M.; Meisenzahl, Ralf R.; Sullivan, … - 2012

Persistent link: https://www.econbiz.de/10009570159

Effectively hedging the interest rate risk of wide floating-rate coupon spreads

Schröder, Thomas; Dunbar, Kwamie - In: Journal of risk management in financial institutions 4 (2010/11) 2, pp. 162-179

Persistent link: https://www.econbiz.de/10009154316

Inflation and interest rate derivatives for FX risk management : implications for exporting firms under real wealth

Koziol, Philipp - In: The quarterly review of economics and finance : journal … 54 (2014) 4, pp. 459-472

Persistent link: https://www.econbiz.de/10010533403

Hedging European government bond portfolios during the recent sovereign debt crisis

Bessler, Wolfgang; Wolff, Dominik - In: Journal of international financial markets, … 33 (2014), pp. 379-399

Persistent link: https://www.econbiz.de/10011299815

Hedging instrument in post liquidity crisis : a case of interest rate swaps

Allen, Shannon; Kim, Sungsoo; Zitzler, Mark - In: Managerial finance 39 (2013) 1, pp. 47-59

Persistent link: https://www.econbiz.de/10009732993

Pricing and risk management of interest rate swaps

Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-chieh - In: European journal of operational research : EJOR 228 (2013) 1, pp. 102-111

Persistent link: https://www.econbiz.de/10009734148

The two sides of derivatives usage : hedging and speculating with interest rate swaps

Chernenko, Sergey; Faulkender, Michael - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 6, pp. 1727-1754

Persistent link: https://www.econbiz.de/10009623284

Market timing, maturity mismatch, and risk management : evidence from the banking industry

Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013

compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …

Persistent link: https://www.econbiz.de/10010248947

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973

Modern pricing of interest rate derivatives including funding and collateral

Bianchetti, Marco - In: Interest rate modelling after the financial crisis, (pp. 113-152). 2013

Persistent link: https://www.econbiz.de/10011456963