A Simple Model for Pricing Derivative Securities with Equity, Interest-Rate, Default and Liquidity Risk

2003 ◽  
Author(s):  
Sanjiv Ranjan Das ◽  
Rangarajan K. Sundaram ◽  
Suresh M. Sundaresan
Keyword(s):  
Simple Model ◽  
Interest Rate ◽  
Liquidity Risk ◽  
Derivative Securities ◽  
Pricing Derivative Securities

Interest Rate Derivative Securities

2013 ◽  
pp. 277-345
Author(s):  
You-lan Zhu ◽  
Xiaonan Wu ◽  
I-Liang Chern ◽  
Zhi-zhong Sun
Keyword(s):  
Interest Rate ◽  
Derivative Securities ◽  
Interest Rate Derivative

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.

Floating Rate Notes

2019 ◽  
pp. 265-282
Author(s):  
Aby Abraham ◽  
John Casares ◽  
Jibran Ali Shah
Keyword(s):  
United States ◽  
Risk Factors ◽  
Interest Rate ◽  
Liquidity Risk ◽  
The United States ◽  
Interest Rate Risk ◽  
Flip Flop ◽  
Deposit Rate ◽  
Floating Rate ◽  
Prime Rate

This chapter provides an overview of floating rate notes (FRNs). Although FRNs originated in Europe, their first introduction in the United States came in 1974 when Citicorp sold $650 million worth of its 15-year notes. Since that time, FRNs have evolved into a variety of types. FRN types covered in the chapter include the plain, capped, floored, collared, reverse, super, deleveraged, perpetual, and flip-flop. An FRN can have a maturity of up to 30 years and include periodic interest rate adjustments throughout its life. An FRN uses a reference rate, such as London Interbank Offer Rate (LIBOR), Treasury bill (T-bill) rate, prime rate, or domestic certificate of deposit rate plus a spread to determine its coupon rate. The chapter provides a discussion of such risk factors as interest rate risk, credit risk, call/reinvestment risk, liquidity risk, and market risk. Additionally, it covers FRN valuation using spread for life, effective margin, total adjusted margin, discount margin, and option-adjusted spread methods.

scholarly journals The Effect of Risks on Banking Safety: Applied Study on Jordanian Traditional Banks (2005-2016)

2017 ◽  
Vol 9 (9) ◽  
pp. 102
Author(s):  
Mohammad Abdel Mohsen Al-Afeef ◽  
Atallah Hassan Al-Ta'ani
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Commercial Banks ◽  
Banking Sector ◽  
Liquidity Risk ◽  
Interest Rate Risk ◽  
Bank Credit ◽  
Applied Study ◽  
Rate Risk ◽  
The Impact

Banking sector is one of the most important sectors that support the sustainable economic development in Jordan, therefore this study aimed to test the impact of risks; (Liquidity risk, bank credit risk and interest rate risk) on the safety in the banking sector in the Jordanian commercial banks during the period 2005-2016.The results of the study showed that there is a statistically significant impact for each of liquidity risk and interest rate risk on the safety in the banking sector, and there isn't statistically significant impact for credit risk on the safety in the banking sector during the period of this study, and also find that the explanatory of model was 60.5%, which means that 39.5% due to other factors.

BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH

2005 ◽  
Vol 08 (01) ◽  
pp. 1-12 ◽  
Author(s):  
FRANCISCO VENEGAS-MARTÍNEZ
Keyword(s):  
Bayesian Inference ◽  
Option Pricing ◽  
Maximum Entropy ◽  
Bayesian Model ◽  
Prior Information ◽  
Bessel Functions ◽  
Derivative Securities ◽  
Expected Values ◽  
Pricing Derivative Securities ◽  
Approximate Formulas

This paper develops a Bayesian model for pricing derivative securities with prior information on volatility. Prior information is given in terms of expected values of levels and rates of precision: the inverse of variance. We provide several approximate formulas, for valuing European call options, on the basis of asymptotic and polynomial approximations of Bessel functions.

Sign in / Sign up

Export Citation Format

Share Document