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Traditional Approaches to Measuring Macroeconomic Exposure

Lars Oxelheim and Clas Wihlborg

in Corporate Decision-Making with Macroeconomic Uncertainty: Performance and Risk Management

Published in print:
2008
Published Online:
May 2009
ISBN:
9780195335743
eISBN:
9780199868964
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195335743.003.0003
Subject:
Economics and Finance, Financial Economics

Traditional, as well as more recent concepts of exposure to exchange rates, interest rates, and inflation are reviewed and compared in this chapter. All exposure measures can be interpreted as ... More


Corporate Decision-Making with Macroeconomic Uncertainty: Performance and Risk Management

Lars Oxelheim and Clas Wihlborg

Published in print:
2008
Published Online:
May 2009
ISBN:
9780195335743
eISBN:
9780199868964
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195335743.001.0001
Subject:
Economics and Finance, Financial Economics

This book develops “Macroeconomic Uncertainty Strategy” (MUST) as a tool for coping with the impact of macroeconomic fluctuations on risk management, performance assessment, and strategies for value ... More


Understanding Inflation-Indexed Bond Markets

Michael Haliassos

in Financial Innovation: Too Much or Too Little?

Published in print:
2013
Published Online:
January 2015
ISBN:
9780262018296
eISBN:
9780262305495
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262018296.003.0003
Subject:
Economics and Finance, Financial Economics

This chapter explores the history of inflation-indexed bond markets in the United States and the United Kingdom. It documents a massive decline in long-term real interest rates from the 1990s until ... More


Measuring Interest Rate Risk in the Life Insurance Sector: The U.S. and the U.K.

Daniel Hartley, Anna Paulson, and Richard J. Rosen

in The Economics, Regulation, and Systemic Risk of Insurance Markets

Published in print:
2016
Published Online:
December 2016
ISBN:
9780198788812
eISBN:
9780191830877
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198788812.003.0007
Subject:
Economics and Finance, Financial Economics

We use a two factor model of life insurer stock returns to measure interest rate risk at U.S. and U.K. insurers. Our estimates show that interest rate risk among U.S. life insurers increased as ... More


Stress Testing

Martin Čihák

in Investment Risk Management

Published in print:
2015
Published Online:
January 2015
ISBN:
9780199331963
eISBN:
9780190214098
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199331963.003.0016
Subject:
Economics and Finance, Financial Economics

Stress testing is a useful and popular but sometimes misunderstood method of analyzing the resilience of financial institutions to adverse events. This chapter aims to further demystify stress tests ... More


Hedging Agency Mortgage-Related Securities

Brett R. Dunn, Kenneth B. Dunn, Frank J. Fabozzi, and Roberto Sella

in The Handbook of Mortgage-Backed Securities: 7th Edition

Published in print:
2016
Published Online:
October 2016
ISBN:
9780198785774
eISBN:
9780191827594
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198785774.003.0032
Subject:
Economics and Finance, Financial Economics, Macro- and Monetary Economics

This chapter illustrates how to “hedge” the interest rate risk associated with mortgage-backed securities (MBS) in order to capture the spread over Treasuries. Agency MBS can be used to generate ... More


Stripped Mortgage-Backed Securities

Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel Goldfarb

in The Handbook of Mortgage-Backed Securities: 7th Edition

Published in print:
2016
Published Online:
October 2016
ISBN:
9780198785774
eISBN:
9780191827594
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198785774.003.0018
Subject:
Economics and Finance, Financial Economics, Macro- and Monetary Economics

This chapter examines stripped mortgage-backed securities (SMBS), a class that enables investors to take strong market positions on expected movements in prepayment and interest rates. SMBS are used ... More


External Vulnerabilities

Yilmaz Akyüz

in Playing with Fire: Deepened Financial Integration and Changing Vulnerabilities of the Global South

Published in print:
2017
Published Online:
July 2017
ISBN:
9780198797173
eISBN:
9780191838668
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198797173.003.0004
Subject:
Economics and Finance, Financial Economics, Development, Growth, and Environmental

The deepened financial integration of EDEs has heightened their susceptibility to global financial shocks and increased the instability in their credit, assets, and currency markets. It has led to ... More


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