Scenario Generation for Long-Run Interest Rate Risk Assessment

2016 ◽  
Author(s):  
Robert F. Engle ◽  
Guillaume Roussellet
Keyword(s):  
Risk Assessment ◽  
Interest Rate ◽  
Interest Rate Risk ◽  
Scenario Generation ◽  
Rate Risk ◽  
Long Run

Scenario generation for long run interest rate risk assessment

2017 ◽  
Vol 201 (2) ◽  
pp. 333-347 ◽  
Author(s):  
Robert Engle ◽  
Guillaume Roussellet ◽  
Emil Siriwardane
Keyword(s):  
Risk Assessment ◽  
Interest Rate ◽  
Interest Rate Risk ◽  
Scenario Generation ◽  
Rate Risk ◽  
Long Run

Balance-sheet interest rate risk: a weighted Lp approach

2018 ◽  
Vol 21 (1) ◽  
pp. 91-104 ◽  
Author(s):  
Leslaw Gajek ◽  
Elzbieta Krajewska
Keyword(s):  
Interest Rate ◽  
Balance Sheet ◽  
Interest Rate Risk ◽  
Rate Risk
Sign in / Sign up

Export Citation Format

Share Document