scholarly journals The Regional Effects of Interest Rate Change: Multiregional CGE Model Approach

2013 ◽  
Vol 77 (null) ◽  
pp. 35-48
Author(s):  
Jeong Kiho ◽  
Jae Hyun Kim
Keyword(s):  
Interest Rate ◽  
Rate Change ◽  
Cge Model ◽  
Regional Effects ◽  
Interest Rate Change ◽  
Model Approach

scholarly journals Quantitative law describing market dynamics before and after interest-rate change

2010 ◽  
Vol 81 (6) ◽  
Author(s):  
Alexander M. Petersen ◽  
Fengzhong Wang ◽  
Shlomo Havlin ◽  
H. Eugene Stanley
Keyword(s):  
Interest Rate ◽  
Rate Change ◽  
Market Dynamics ◽  
Before And After ◽  
Interest Rate Change

scholarly journals Fiscal Imbalances and Interest Rate Change in Pakistan: A Co-Integration Analysis

2015 ◽  
Vol 05 (05) ◽  
pp. 616-623 ◽  
Author(s):  
Zaeema Islam ◽  
Asghar Ali ◽  
Irfan Ahmad Baig ◽  
Sajjad Ahmad Baig ◽  
Muhammad Hashim ◽  
...  
Keyword(s):  
Interest Rate ◽  
Rate Change ◽  
Interest Rate Change ◽  
Integration Analysis

scholarly journals Risk Management for Bonds with Embedded Options

Mathematics ◽  
2020 ◽  
Vol 8 (5) ◽  
pp. 790
Author(s):  
Antonio Díaz ◽  
Marta Tolentino
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Interest Rates ◽  
Interest Rate Risk ◽  
Interest Rate Models ◽  
Management Measures ◽  
Interest Rate Risk Management ◽  
Embedded Options ◽  
The Interest Rate ◽  
Interest Rate Change

This paper examines the behavior of the interest rate risk management measures for bonds with embedded options and studies factors it depends on. The contingent option exercise implies that both the pricing and the risk management of bonds requires modelling future interest rates. We use the Ho and Lee (HL) and Black, Derman, and Toy (BDT) consistent interest rate models. In addition, specific interest rate measures that consider the contingent cash-flow structure of these coupon-bearing bonds must be computed. In our empirical analysis, we obtained evidence that effective duration and effective convexity depend primarily on the level of the forward interest rate and volatility. In addition, the higher the interest rate change and the lower the volatility, the greater the differences in pricing of these bonds when using the HL or BDT models.

Evaluating the Impacts of a Disaster in the Tokai Region of Japan : A Dynamic Spatial CGE Model Approach

2009 ◽  
Vol 39 (3) ◽  
pp. 539-551 ◽  
Author(s):  
Hiroyuki SHIBUSAWA ◽  
Makoto YAMAGUCHI ◽  
Yuzuru MIYATA
Keyword(s):  
Cge Model ◽  
Tokai Region ◽  
Model Approach
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