Interest Rate Risk Management

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