Modeling Interest Rate Risk Management Dissertation or Thesis by Jfantino

Modeling Interest Rate Risk Management
Presents a complete research project, which presents a new tool to manage the global interest rate risk using the case of Credit Foncier de Monaco.
# 107805 | 11,815 words | 79 sources | APA | 2008 | FR


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Description:

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."

Sample of Sources Used:

  • Michel d'AGATA & Lene BUTTIN-KRISTOFFERSEN (1991) Gestion et Techniques Bancaires: une Gestion Operationnelle du Risque de Taux Global
  • Kenneth ARROW (1965) Aspect of the theory of risk bearing
  • Patrick ARTUS & Catherine LUBOCHINSKI (1990) Theorie Financiere des Taux d'Interet et Gestion du Risque de Taux
  • Jean-Claude AUGROS & Michel QUERUEL (2000) Risque de Taux d'Interet et Gestion Bancaire
  • BANQUE DE FRANCE (2007) La gestion du risque de taux d'interet global dans les banques francaises: a l'heure de Bale II, quelles evolutions en attendre?

Cite this Dissertation or Thesis:

APA Format

Modeling Interest Rate Risk Management (2008, September 14) Retrieved November 22, 2019, from https://www.academon.com/dissertation-or-thesis/modeling-interest-rate-risk-management-107805/

MLA Format

"Modeling Interest Rate Risk Management" 14 September 2008. Web. 22 November. 2019. <https://www.academon.com/dissertation-or-thesis/modeling-interest-rate-risk-management-107805/>

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