Implementation of Short-Rate Models - A Case Study of the Black-Derman-Toy Model of Interest Rate

2017 ◽  
Author(s):  
Oluwaseyi Adebayo Awoga
Keyword(s):  
Interest Rate ◽  
Short Rate Models

scholarly journals Sensitivity Analysis of Fuzzy Activity-Based Life Cycle Costing

2018 ◽  
Vol 225 ◽  
pp. 05002
Author(s):  
Freselam Mulubrhan ◽  
Ainul Akmar Mokhtar ◽  
Masdi Muhammad
Keyword(s):  
Sensitivity Analysis ◽  
Life Cycle ◽  
Interest Rate ◽  
Life Cycle Costing ◽  
High Impact ◽  
Final Output ◽  
Left And Right ◽  
The Interest Rate ◽  
Operation Cost

A sensitivity analysis is typically conducted to identify how sensitive the output is to changes in the input. In this paper, the use of sensitivity analysis in the fuzzy activity based life cycle costing (LCC) is shown. LCC is the most frequently used economic model for decision making that considers all costs in the life of a system or equipment. The sensitivity analysis is done by varying the interest rate and time 15% and 45%, respectively, to the left and right, and varying 25% of the maintenance and operation cost. It is found that the operation cost and the interest rate give a high impact on the final output of the LCC. A case study of pumps is used in this study.

Synthesis and Conclusion

2019 ◽  
pp. 443-458
Author(s):  
Alan N. Rechtschaffen
Keyword(s):  
Civil War ◽  
Interest Rate ◽  
Liquidity Risk ◽  
Market Risk ◽  
Interest Rate Risk ◽  
Securities And Exchange Commission ◽  
Confederate States Of America ◽  
Rate Risk ◽  
National Bank

This chapter begins with a synthesis of key themes, covering derivatives, debt instruments, and structured notes. It considers the case study Securities and Exchange Commission v. Goldman, Sachs & Co. & Fabrice Tourre. It then describes the Erlanger “cotton” bonds issued by the Confederate States of America to raise money during the Civil War. This is followed by discussions on range notes, internal leverage and market risk, and risks (interest rate risk, liquidity risk, reinvestment risk). The chapter concludes by describing the bulletin issued by the Office of the Comptroller of the Currency on May 22, 2002, to all national bank CEOs and all federal branches and agencies in regard to risky “yield-chasing” strategies that were returning to the markets.

Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

2014 ◽  
Vol 01 (01) ◽  
pp. 1450001 ◽  
Author(s):  
Damiano Brigo ◽  
Andrea Pallavicini
Keyword(s):  
Interest Rate ◽  
Differential Equations ◽  
Credit Risk ◽  
Nonlinear Partial Differential Equations ◽  
Relative Size ◽  
Derivatives Pricing ◽  
Interest Rate Swaps ◽  
First Time

The introduction of Central Clearing Counterparties (CCPs) in most derivative transactions will dramatically change the landscape of derivatives pricing, hedging and risk management, and, according to the TABB Group, will lead to an overall liquidity impact of about USD 2 trillions. In this paper, we develop for the first time a comprehensive approach for pricing under CCP clearing, including variation and initial margins, gap credit risk and collateralization, showing concrete examples for interest rate swaps. This framework stems from our 2011 framework on credit, collateral and funding costs in Pallavicini et al. (Pallavicini, A., D. Perini and D. Brigo, 2011, Funding Valuation Adjustment: FVA consistent with CVA, DVA, WWR, Collateral, Netting and Re-hypothecation, arxiv.org, ssrn.com). Mathematically, the inclusion of asymmetric borrowing and lending rates in the hedge of a claim, and a replacement closeout at default, lead to nonlinearities showing up in claim dependent pricing measures, aggregation dependent prices, nonlinear Partial Differential Equations (PDEs) and Backward Stochastic Differential Equations (BSDEs). This still holds in presence of CCPs and CSA. We introduce a modeling approach that allows us to enforce rigorous separation of the interconnected nonlinear risks into different valuation adjustments where the key pricing nonlinearities are confined to a funding costs component that is analyzed through numerical schemes for BSDEs. We present a numerical case study for Interest Rate Swaps that highlights the relative size of the different valuation adjustments and the quantitative role of initial and variation margins, of liquidity bases, of credit risk, of the margin period of risk and of wrong-way risk correlations.

scholarly journals ANALISIS PENERAPAN BUNGA PINJAMAN DENGAN METODE SLIDING RATE DANFLAT RATE PADA KOPERASI KREDIT GENTIARAS PRINGSEWU

2020 ◽  
Vol 12 (1) ◽  
pp. 60-67
Author(s):  
Felix Alfa Yudhistira ◽  
Yohanes Suharsana
Keyword(s):  
Quantitative Analysis ◽  
Interest Rate ◽  
Calculation Method ◽  
Case Study Research ◽  
Flat Rate ◽  
Sliding Method ◽  
Descriptive Approach ◽  
Rate Method ◽  
The Difference

Kopdit Gentiaras Pringsewu doing giving flowers with Sliding rate method. Sliding rate method is a method of charging interest each month is calculated from the remainder of the loan so the interest paid members monthly decreases with decreasing principal. In order to compete with other cooperatives in other cooperative Pringsewu in Pringsewu, Kopdit GENTIARAS set loan interest rate by a sliding method. However, these methods do not necessarily provide benefits to its members. This research uses case study research with descriptive approach. Analysis of the data used is quantitative analysis. Results from this study is the difference in interest grouping. Calculation method of sliding rate is 1.75% x the remainder of the principal while the flat rate is 1.75% x the loan early.The results of this study provide the conclusion that the method of sliding rate is more beneficial to the members who make loans in Kopdit Gentiaras Pringsewu. Because by using this method the loan interest will always decreases with decreasing remainder of the loan.

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