Interest Rate Risk Models: Theory and Practice

✍ Scribed by Anthony G. Cornyn and Elizabeth Mays

• Publisher: Fitzroy Dearborn Publishers, Chicago and London
• Year: 1997
• Tongue: English
• Leaves: 450
• Category: Library

✦ Table of Contents

Contents
Preface
Contributors
Part I: Introduction to Interest Rate Risk Modeling
1. Financial Modeling—What It Is and What the Risks Are
2. The Evolution of Interest-Rate-Risk Models
3. Interest-Rate-Risk Measurement: Modeling Key Product Characteristics
4. Organizational Issues in Financial Modeling
5. The Integration of Time-Series Analysis and Term-Structure Modeling
Part II: Model Building for Specific Industries and Applications
6. Measuring Interest Rate Risk in a Commercial Bank
7. Analyzing and Modeling Core-Deposit Behavior for Business Plan Evaluation and IRR Assessment
8. Modeling Core Deposits: The Commerce Bank Methodology
9. Interest-Rate-Risk Modeling at a COFI-Based Thrift Institution
10. OAS Modeling of Fixed-Rate Pass Throughs: Implementational Issues
11. Modeling Reverse Mortgages
12. Modeling Adjustable-Rate Mortgages
13. Modeling Mortgage Service Rights
Part III: Regulatory Models and Perspectives
14. Interest Rate Exposure in the S&L Industry: Results from the OTS Net Portfolio Value Model
15. Evaluating the Interest-Rate-Risk Measurement Processes of Commercial Banks
16. Savings and Loan Interest-Rate-Risk Models: An Examiner's Perspective
Part IV: Off-The-Shelf Interest-Rate-Risk Models
17. Criteria for Evaluating Third Party IRR Solutions (Why the Model Doesn't Matter)
18. The BankWare Model
19. Kamakura Risk Manager, TSER/OAV, and Global Trader
20. Olson Financial Planning Model
21. The Quantitative Risk Management Solution: Combining Traditional Balance Sheet Analysis with State-of-the-Art Techniques
22. Sendero A/L: Advanced Technology for Better Balance Sheet Decisions
Appendix: List of Vendors of Asset/ Liability Software Models
Index