Abstract This paper explains that the goal of its thesis is to conceive a model to manage the global interest rate risk of the commercial portfolio in order to determine the optimal structure of the new production and to test the tool on the Credit Foncier de Monaco, private banking and subsidiary of Calyon, which is obviously the investment banking of Credit Agricole. The paper's thesis is divided into two main sections: the theoretical modeling and the empirical application.
Table of Contents:
Abstract
Abbreviations
Introduction
Theoretical Modeling
Identification
Interest Rate
Nominal vs. Real Rate
Fixed vs. Variable Interest Rate
Short-Term vs Long-Term Rates
Spot vs. Forward Rates
Term Structure of Interests
Theories
Methods
Deterministic and Stochastic Models
Sources of Interest Rate Risk
Repricing or Maturity Mismatch Risk
Basis or Bid-Ask Spread Risk
Yield Curve Risk
Options Risk
Interest Rate Exposure
Net and Gross Positions
Balance-Sheet & Gap
Profit and Loss Statement and Spread
Factors
Measurement
Volume
Instantaneous Gaps
Generalized Gaps
Indexed Gaps
Simulated Gaps
Value
Duration
Convexity Market
Margin
Sensitivity
Modified Duration and Relative Convexity Money Markets Rates
Management
Hedging And Speculation
Micro or Macro Hedging
Systematic or Selective Hedging
Partial and Total Speculation
Hedging Risk and Opportunity Cost
Passive and Active Hedging
Passive Hedging or Beta Management
Active Hedging or Alpha Management
Instruments
Spot
Forward And Future
Fra And Swaps
Options
Modeling
Utility
Structure
Utility Function
Constraints
Regulation
Commercial
Model
Objective Function
Efficient Portfolio
Optimal Portfolio
Empirical Application
Presentation
Cfm
Treasury
Asset-Liability Management (Alm) Committee
Adaptation
Structure
Constraints
Rates
Simulation
Leverage
Regulatory Constraints
Variance-Covariance Matrix
Utility
Variances
Conclusion
Glossary
Appendix: Balance-Sheet + Profit & Loss Statement
Appendix: Balance-Sheets by Currency, Maturity and Interest Rate
Appendix: Gaps
Appendix: Correlation and Variance-Covariance Matrix
Appendix: Weightings and Balance-Sheets in March 2008
Appendix: Coefficients of Variation
Appendix: Objective Function for Different Aversions to Risk
From the Paper "Taking into account the stock and constraints, the model determines the optimal allocation of the production for different scenarios of rates level, rates volatility and risk aversion degrees. The bank hedges against the interest rate risk by optimally adjusting its production.
"The optimal portfolio is the tangent point between the efficient frontier and the indifferent curve. It is obtained by equalizing the marginal rate of transformation (MRT) to the risk to return, which is the slope of the efficient frontier, and the marginal rate of substitution (MRS) to the risk to return, which is the slope of the objective function."
Tags: tool transformation, tangent point, risk premium, asset management
Abstract This paper explains that, even though transformation of deposits into loans generates a return but engenders financial risks and particularly an interest rate risk, the Basel II Committee does not provide any standardized method to manage this crucial risk. The author adapts the Markowitz portfolio selection theory on the banking, particularly on the commercial balance-sheet. This model is tested on Credit Foncier de Monaco and finds that this tool maximizes under constraints the risk-adjusted performance and determines the optimal allocation of the assets. In conclusion, the theoretical objectives are compared with the actual results. Numerous formulas are used throughout the paper and seven appendices are included.
Table of Contents:
Abbreviations
Introduction
Theoretical Modelling
Identification
Interest Rate
Nominal Vs. Real Rate
Short-Term Vs Long-Term Rates
Spot Vs. Forward Rates
Term Structure Of Interests
Theories
Methods
Deterministic And Stochastic Models
Sources Of Interest Rate Risk
Repricing Or Maturity Mismatch Risk
Basis Or Bid-Ask Spread Risk
Yield Curve Risk
Options Risk
Interest Rate Exposure
Net And Gross Positions
Balance-Sheet & Gap
Profit & Loss Statement & Spread
Factors
Measurement
Volume
Instantaneous Gaps
Generalized Gaps
Indexed Gaps
Simulated Gaps
Value
Duration
Convexity Market
Margin
Sensitivity
Modified Duration And Relative Convexity Money Markets Rates
Management
Hedging And Speculation
Micro Or Macro Hedging
Systematic Or Selective Hedging
Partial And Total Speculation
Hedging Risk And Opportunity Cost
Passive And Active Hedging
Passive Hedging Or Beta Management
Active Hedging Or Alpha Management
Instruments
Spot
Forward And Future
Fra And Swaps
Options
Modelling
Utility
Structure
Utility Function
Constraints
Regulation 40
Commercial
Model
Objective Function
Efficient Portfolio
Optimal Portfolio
Empirical Application
Presentation
Cfm
Treasury
Asset-Liability Management (Alm) Committee
Adaptation
Structure
Constraints
Rates
Simulation
Leverage
Regulatory Constraints
Variance-Covariance Matrix
Utility
Variances
Conclusion
Glossary
Appendices
Balance-sheet + Profit & Loss Statement
Balance-Sheets by Currency, Maturity and Interest Rate
Gaps
Correlation and Variance-Covariance Matrix
Weightings and Balance-Sheets in March 2008
Coefficient of Variations for Different Scenarios
Objective Function for Different Aversions to Risk
From the Paper "The bank uses options to hedge against the exercise of inserted options. The interest rate option is the right for the holder to borrow from (put) or lend to (call) the writer an underlying at the strike rate against a premium at each date (American option), at predetermined dates (Bermuda option) or at maturity (European option). The basis strategy of the bank is long call or short put in case of decrease of interest rates and short call and long put in case of increase of interest rates."
Abstract The paper begins with an analysis of the painting by Francesco Mazzola Parmigianino from which the poem's title is taken. An analysis of each stanza of the poem follows, concentrating on the motifs of reflection and perception in the poem: i.e. the universe and the distortions of the universe through language. The paper concludes with an explanation of Ashbery's use of quotations from various sources.
From the Paper "John Ashbery, in ?Self-Portrait in a Convex Mirror,? discusses impressions gleaned from meditating on Francesco Mazzola Parmigianino's self-portrait of the same name and the philosophical sentiments it inspires. The opposing yet complimentary dynamics of perception's flow from an objective universe (observation of the real) and outward expression of the subjective self's musings on said perception (formation of thought and language) is the undercurrent motif coursing throughout the poem??a constant vacillation between inward (Parmigianino's distant eye, seeing the reflection) and outward (his magnified hand, translating it) radiates as a purgatorial pendulum of Ashbery observations and tangential comments."
Tags: modern, perspective, language, art, time, creation, death
Abstract Stratovolcanoes, so called because they are formed by alternating layers, or strata, of lava flows, volcanic ash, cinders, blocks, and bombs, are composite volcanoes. Some prominent examples of stratovolcanoes include Mount Fuji in Japan, Mount Cotopaxi in Ecuador, Mount Shasta in California, Mount Hood in Oregon, Mount St. Helen and Mount Rainier, both in Washington State. This paper provides an overview of these geographic forms, including the different shapes the found in and their physical make-up. The paper also looks at what happens when a stratovolcano erupts.
From the Paper "Lava flows either through breaks in the crater wall or from fissures on the sides of the cone, and lava which solidifies within the fissures forms ribs, or dikes, which greatly strengthen the volcano's walls. If a stratovolcano remains dormant for a long period, the cone is destroyed by erosion, hardened magma fills the conduits, and fissures filled with magma become exposed. After a prolonged period of dormancy, all that remains is the plug and dike complex."
This paper evaluates Professor John. R. M. Hand's analysis of profit, losses and the non-linear pricing of internet stocks as presented in his paper "Network Models, Convex Costs and Concave Revenues".
Abstract This paper explains that John. R. M. Hand notes, because the internet was changing the business landscape with such speed, normative financial methods such as earnings and book values are unable to give financial analysts a working window into how internet wealth is created. The author points out that, Hand relates that log-linear regressions were able to yield lower pricing errors for internet stocks better than using regressions of unscaled data and that his methodology is able to reduce pricing errors. The paper hypothesizes that, although Hand's formulas can be used to analyze the geometric growth of a particular market based on intangible assets, straight line linear progression analysis of true earnings and book values still have their place as a base line evaluation of a weakening then falling technology market that we experienced between 2000 LQ and 2001 LQ. Chart.
From the Paper "Professor Hand asserts that by using this technique he had proven that the Internet firms' log-transformed market values were neatly linear in both (non-linear) log-transformed book equity and log-transformed net income He further asserts that, when the log-log regression results are translated back into their underlying dollar values, he is convinced that the Internet firms market values are linear and increasing in book equity. He also notes that the market values are concave and increasing (vs decreasing) in positive (vs. Negative) net income."
Abstract This paper reviews and discusses the works of Michelangelo da Caravaggio and Nicolas Poussin. According to the paper, Caravaggio and Poussin were not contemporaries but have been linked in art history because of the criticisms Poussin made of Caravaggio and because of the differences in approach seen in their aesthetic ideas and the works they produced following those ideas.
From the Paper "These latter two works are very different renditions of their subject, though there are similarities in the symbols used. Both figures have leaves twining around their heads. The da Cortona work shows a much younger Bacchus, a child, with bunches of grapes in hand. The Caravaggio presents an adult Bacchus drunk from the wine in the goblet he holds in his left hand, and grapes and other fruit are visible in a bowl in the foreground. The Bacchus of Caravaggio is a dissipated adult, and Caravaggio renders this scene with considerable realism. The expression on the face shows how drunk this Bacchus is and how less than ideal this makes him."
