Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition)

Interest Rate Modeling for Risk Management -Market Price of Interest Rate Risk

Release Date: 01-Dec-2020

Book Highlights ~ Bentham Books

This book is by Takashi Yasuoka is published on May 9th, 2018.

Interest Rate Modeling for Risk Management - Market Price of Interest Rate Risk, 2nd Edition, presents information about the application of the 'interest rate model' for risk management goals. When using this model to generate interest rate scenarios for the risk management, the scenarios should be generated with the real probabilities, so called the real-world measure. For this purpose, the interest rate model should be specified under the real-world measure, which is called the 'real-world model' in practice.

The first edition of this book introduced a theoretical framework that allows estimating the market price of interest rate risk, which is the most important key to construct the real world model. This second edition builds on the previous edition by covering new applications in counterparty credit risk management scenarios. The new edition also features an advanced study on the market price of risk, and gives some additional numerical examples.

The book is organized into 10 chapters: (1) Interest rate risk, (2) Fundamentals of stochastic analysis, (3) Arbitrage theory, (4) HJM model, (5) LIBOR market model, (6) Real-world model in the Gaussian HJM model, (7) Remarks on real-world models, (8) Real-world model in the Hull--White model, (9) Real-world model in the LIBOR market model, (10) Numerical examples.

The book is a valuable reference for finance managers, risk managers, and economists involved in industry levels interest rate modeling.

About the Author

Takashi Yasuoka is a Professor in the Graduate School of Engineering Management at Shibaura Institute of Technology, where he has been a faculty member since 2009. His main interest is the implementation of interest rate models in theory and practice.

Keywords: Business/Economics, Education, Insurance, Research/Development