Advanced Interest Rate Risk Models

In Advanced Interest Rate Risk Models, the author walks us through the Interest Rate Components in Internal Transfer Pricing and Interest Rate Profit Management. This is followed by an overview of advanced Interest Rate Risk Modelling in Banking Products then a discussion of advanced Interest Rate Risk Measurement applied to Basel 3 regulation. Advanced Currency Risk Measurement is explained followed by a set of useful tools for Interest Rate Risk Modelling. Mathematical content is included at the end of each chapter but the book is suitable for Asset & Liability Managers. This text includes practical, real-life examples and exercises. Written from a quantitative perspective with economic explanations it will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business.