Managing Interest Rate Risk

78 Pages Posted: 26 Mar 2011 Last revised: 12 Nov 2019

See all articles by Sanjay K. Nawalkha

Sanjay K. Nawalkha

University of Massachusetts Amherst - Isenberg School of Management

Gloria M. Soto

University of Murcia - Faculty of Business and Economics

Date Written: March 20, 2011

Abstract

This is a Power Point presentation made to Banca d'Italia (Central Bank of Italy) workshop on Interest Rate Risk Management held on March 21, 2011, attended by more than 70 bankers from Europe. The topics include, i) threat of inflation, ii) multifactor models for managing interest rate risk, iii) interest rate risk of non-maturity deposit accounts, iv) a general framework for interest rate risk of derivatives, and v) what term structure models to use (fundamental, single-plus, double-plus, or triple-plus) for interest rate risk analysis?

Keywords: Interest Rate Risk, Duration, Convexity, Demand Deposits, Term Structure

JEL Classification: G11, G12, G13

Suggested Citation

Nawalkha, Sanjay K. and Soto, Gloria M., Managing Interest Rate Risk (March 20, 2011). Available at SSRN: https://ssrn.com/abstract=1796003 or http://dx.doi.org/10.2139/ssrn.1796003

Sanjay K. Nawalkha (Contact Author)

University of Massachusetts Amherst - Isenberg School of Management ( email )

Amherst, MA 01003-4910
United States
413-687-2561 (Phone)

Gloria M. Soto

University of Murcia - Faculty of Business and Economics ( email )

Spain

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