Interest rate risk management

Description

Contents ......Page 17 Chapter 1: An Interest Rate Risk Management Overview ......Page 51 Chapter 2: Defining and Quantifying Interest Rate Risk ......Page 81 Chapter 3: Income Simulation ......Page 119 Chapter 4: Duration and Convexity ......Page 163 Chapter 5: Economic Value Simulation ......Page 215 Chapter 6: Measuring the Rate Risk of Indeterminate Maturity, Administered Rate, and Putable Deposits ......Page 285 Chapter 7: Measuring the Rate Risk of Loans and Investments ......Page 345 Chapter 8: Rate Changes: Deterministic Scenarios and Stochastic Models ......Page 375 Chapter 9: Selecting and Installing AL Models ......Page 427 Chapter 10: Using Models and Managing Model Risk ......Page 503 Chapter 11: Interest Rate Risk Measurement Summary ......Page 541 Chapter 12: ALM Policies, Management Structures, and Risk Limits ......Page 577 Chapter 13: ALM Decision Making, Implementation, and Oversight ......Page 691 Chapter 14: Managing Interest Rate Risk Without Using Off-Balance Sheet Derivatives ......Page 753 Chapter 15: Hedging with Off-Balance Sheet Derivative Instruments ......Page 787 Chapter 16: Perspectives ......Page 895 Glossary ......Page 923