Mastering Interest Rate Risk Strategy

Financial institutions, private and public companies and governments can lose vast amounts of money from even minor changes in interest rates. Because of this, complex financial instruments have been developed to mitigate these exposures. But what happens when organisations hedge themselves to ill-advised and ill-formulated financial management strategies?

Based on a proven analytical method, Mastering Interest Rate Risk Strategy explains, step-by-step, how to set up and run a sound interest rate risk strategy. Influenced by the author's work with leading companies and tested with banks, the book will help readers bring risk under control, raise profits and ensure healthy cash flows.

Mastering Interest Rate Risk Strategy :

• Shows you how to mitigate interest rate risk using the most advanced risk management techniques
• Provides you with an analytical method that is proven both academically and in practice

• Uses examples and real life cases to support the transfer of knowledge and skills

  Autorentext

Dr Victor Macrae runs Macrae Finance, a consulting firm advising global financial corporations such as ABN Amro, Deutsche Bank and ING Bank. Based in The Netherlands he has a PhD in financial risk management and his MBA is from Nyenrode University. He has worked for major banks including ING Barings and was formerly treasurer at Wolters Kluwer.

 

Inhalt

• Part 1 KEY LEARNING POINTS FROM PAST DERIVATIVES BLUNDERS
• 1 Introduction
• Part 2 UNDERSTANDING THE FIRM'S EXPOSURE TO INTEREST RATE RISK
• 2 Four sources of exposure to interest rate risk
• 3 Bank financing as primary source of exposure
• Part 3 MEASURING THE IMPACT OF INTEREST RATE RISK ON THE FIRM
• 4 The financial markets
• 5 Financial statement impact from interest rate movements
• Part 4 HEDGING MAKES SENSE UNDER SPECIFIC CIRCUMSTANCES ONLY
• 6 Introduction
• Part 5 SELECTING THE BEST POSSIBLE DERIVATIVE
• 7 Interest rate derivatives
• 8 Linear derivatives
• 9 Options
• Part 6 How to formulate the optimal strategy: The analytical method
• 10 Introduction
• Appendix I: Central case Trader
• Appendix II: Proof of the analytical method
• Resources
• Glossary
• Index