Interest rate risk models: theory and practice

by Cornyn, Anthony G. Mays, Elizabeth, (Freda Elizabeth)

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Title Statements

Full title :Interest rate risk models : theory and practice / Anthony G. (sic.) Cornyn and Elizabeth Mays, editors.

Edition Statements

Publication Date:©1997.

Publication Statements

Publisher(s):Fitzroy Dearborn Pub, Glenlake Pub
Place of Publication:Chicago
Language:eng
Publication Date:©1997.

The Physical Object

Description:xv, 434 pages : : illustrations ; : 24 cm

Edition Identifiers

ISBN:1888998040, 9781888998047, 1884964729, 9781884964725
oclc:ocm37928810
LC Classification:HG6024.5
Dewey Decimal:332.6323

Machine derived contents note: PART I: Introduction to Interest Rate Risk Modeling -- 1. Financial Modeling-What It Is and What the Risks Are, 3 -- Donald R. Moscato -- 2. The Evolution of Interest-Rate-Risk Models, 15 -- William J. McGuire -- 3. Interest-Rate-Risk Measurement: Modeling Key Product -- Characteristics, 29 -- Atul K. Dholakia -- 4. Organizational Issues in Financial Modeling, 41 -- Donald R. Moscato -- 5. The Integration of Time-Series Analysis and Term-Structure -- Modeling, 51 -- Ani Sanyal -- PART II: Model Building for Specific Industries and Applications -- 6. Measuring Interest Rate Risk in a Commercial Bank, 75 -- Atul K. Dholakia -- 7. Analyzing and Modeling Core-Deposit Behavior for Business Plan -- Evaluation and IRR Assessment, 91 -- William J. McGuire -- 8. Modeling Core Deposits: The Commerce Bank Methodology, 109 -- William J. McGuire and T. Jamie Newell -- 9. Interest-Rate-Risk Modeling at a COFI-Based Thrift Institution, 147 -- Marangal I. Domingo, Jr. -- 10. OAS Modeling of Fixed-Rate Pass Throughs: Implementational -- Issues, 161 -- Jeffrey Ho -- 11. Modeling Reverse Mortgages, 201 -- Thomas P. Boehm and Michael C. Ehrhardt -- 12. Modeling Adjustab…