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About the Editors | |
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About the Contributors | |
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Preface | |
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A Brief History of Interest Rates | |
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The Term Structure of Interest Rates | |
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Interest-Rate Risk Measures and Option-adjusted Spread Analysis | |
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Common Misconceptions About Duration | |
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The Evolution of Interest-Rate Risk Measurement in Financial Institutions | |
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The Estimation of the Duration of Nonmaturity Deposits | |
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Simulation Applications: Uses and Misuses | |
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Scenario Analysis and Stress Testing | |
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Forward Rate Agreements | |
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Financial Forward and Future Contracts | |
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The Mechanics of Zero-coupon Yield Curve Construction | |
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Swaps and Swaptions | |
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Interest-Rate Options: Caps, Floors, and Collars | |
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Contingent Premium Options: A Primer | |
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The Role of Structured Notes | |
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Exotic Instruments | |
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Financial Engineering as a Solution to Interest-Rate Risk Management Challenges | |
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Managing Interest-Rate Risk at a Commercial Bank | |
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Managing Interest-Rate Risk at a Savings Institution | |
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Implementing the Option-adjusted Spread Model for Global Balance Sheet Management | |
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Consumer Deposit Behavior and the Related Interest-Rate Risk | |
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Managing the Interest-Rate Risk of a Credit Card Portfolio | |
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Managing the Interest-Rate Risk in the Mortgage Banking Industry | |
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Hedging Issues Related to Mortgages | |
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How Today's Fixed-income Portfolio Managers Look at Interest-Rate Risk | |
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Interest-Rate Risk Management in the Context of an Enterprisewide Risk Solution | |
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The Simultaneous Analysis of Interest-Rate Risk and Credit Risk | |
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Interest-Rate Risk Management Strategies | |
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Yield Enhancement: Earning Above-average Returns | |
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History and Quality of Interest-Rate Risk Disclosure at US Banks | |
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Hedging CMOs with "On the Run" Treasuries Using Key Rate Durations | |
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The Effects of Term Structure Estimation on the Valuation of Interest-Rate Derivatives | |
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The Effects of Nonparallel Shifts in the Yield Curve on Bank Capital Adequacy | |
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Index | |