Publicação
Implementing interest rate swaps in the risk management of a credit institute – a practical analysis
| Resumo: | This Work Project has been developed in the course of an internship done at a credit institute and analyzes hedging strategies based on interest rate swaps that enable isolated management of interest rate risk. It follows a practical approach to test five fair value hedges, which are thought to immunize against different term structure shifts. Additionally, a strategy is devised that hedges interest rate risk in forecasted earnings, which is expressed by an earnings shortfall below certain minimum threshold values in different planning scenarios. |
|---|---|
| Autores principais: | Beermann, Tim |
| Assunto: | Interest rate risk Interest rate swap Immunization Hedging |
| Ano: | 2019 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| _version_ | 1868983997096263680 |
|---|---|
| author | Beermann, Tim |
| author_facet | Beermann, Tim |
| author_role | author |
| contributor_name_str_mv | Eça, Afonso Fuzeta RUN |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Beermann, Tim\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Eça, Afonso Fuzeta RUN |
| datacite.creators.creator.creatorName.fl_str_mv | Beermann, Tim |
| datacite.date.Accepted.fl_str_mv | 2019-01-23T00:00:00Z |
| datacite.date.available.fl_str_mv | 2019-05-22T14:21:01Z |
| datacite.date.embargoed.fl_str_mv | 2019-05-22T14:21:01Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Interest rate risk Interest rate swap Immunization Hedging |
| datacite.titles.title.fl_str_mv | Implementing interest rate swaps in the risk management of a credit institute – a practical analysis |
| dc.contributor.none.fl_str_mv | Eça, Afonso Fuzeta RUN |
| dc.creator.none.fl_str_mv | Beermann, Tim |
| dc.date.Accepted.fl_str_mv | 2019-01-23T00:00:00Z |
| dc.date.available.fl_str_mv | 2019-05-22T14:21:01Z |
| dc.date.embargoed.fl_str_mv | 2019-05-22T14:21:01Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10362/70412 |
| dc.language.none.fl_str_mv | eng |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Interest rate risk Interest rate swap Immunization Hedging |
| dc.title.fl_str_mv | Implementing interest rate swaps in the risk management of a credit institute – a practical analysis |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | This Work Project has been developed in the course of an internship done at a credit institute and analyzes hedging strategies based on interest rate swaps that enable isolated management of interest rate risk. It follows a practical approach to test five fair value hedges, which are thought to immunize against different term structure shifts. Additionally, a strategy is devised that hedges interest rate risk in forecasted earnings, which is expressed by an earnings shortfall below certain minimum threshold values in different planning scenarios. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://run.unl.pt/bitstreams/f23a4582-8a48-41e2-be70-2624b6462199/download |
| id | run_ae4430a820f6b3ce41dddbe4efcd80bc |
| identifier.url.fl_str_mv | http://hdl.handle.net/10362/70412 |
| inst_facet_str | urn:organizationAcronym:unl{{{_:::_}}}Universidade Nova de Lisboa |
| instacron_str | unl |
| institution | Universidade Nova de Lisboa |
| instname_str | Universidade Nova de Lisboa |
| language | eng |
| network_acronym_str | run |
| network_name_str | Repositório Institucional da UNL |
| oai_identifier_str | oai:run.unl.pt:10362/70412 |
| organization_str_mv | urn:organizationAcronym:unl |
| person_str_mv | Beermann, Tim |
| publishDate | 2019 |
| repo_facet_str | urn:repositoryAcronym:run{{{_:::_}}}Repositório Institucional da UNL |
| reponame_str | Repositório Institucional da UNL |
| repository_id_str | urn:repositoryAcronym:run |
| service_str_mv | urn:repositoryAcronym:run |
| spelling | engpt_PTThis Work Project has been developed in the course of an internship done at a credit institute and analyzes hedging strategies based on interest rate swaps that enable isolated management of interest rate risk. It follows a practical approach to test five fair value hedges, which are thought to immunize against different term structure shifts. Additionally, a strategy is devised that hedges interest rate risk in forecasted earnings, which is expressed by an earnings shortfall below certain minimum threshold values in different planning scenarios.application/pdfpt_PTImplementing interest rate swaps in the risk management of a credit institute – a practical analysisBeermann, TimEça, Afonso FuzetaHostingInstitutionOrganizationalRUNe-mailmailto:run@unl.ptrun@unl.ptURNurn:tid:2022264502019-05-22T14:21:01Z2019-01-232019-01-23T00:00:00ZHandlehttp://hdl.handle.net/10362/70412http://purl.org/coar/access_right/c_abf2open accessInterest rate riskInterest rate swapImmunizationHedging689589 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://run.unl.pt/bitstreams/f23a4582-8a48-41e2-be70-2624b6462199/download |
| spellingShingle | Implementing interest rate swaps in the risk management of a credit institute – a practical analysis Beermann, Tim Interest rate risk Interest rate swap Immunization Hedging |
| status | SINGLETON |
| subject.fl_str_mv | Interest rate risk Interest rate swap Immunization Hedging |
| title | Implementing interest rate swaps in the risk management of a credit institute – a practical analysis |
| title_full | Implementing interest rate swaps in the risk management of a credit institute – a practical analysis |
| title_fullStr | Implementing interest rate swaps in the risk management of a credit institute – a practical analysis |
| title_full_unstemmed | Implementing interest rate swaps in the risk management of a credit institute – a practical analysis |
| title_short | Implementing interest rate swaps in the risk management of a credit institute – a practical analysis |
| title_sort | Implementing interest rate swaps in the risk management of a credit institute – a practical analysis |
| topic | Interest rate risk Interest rate swap Immunization Hedging |
| topic_facet | Interest rate risk Interest rate swap Immunization Hedging |
| url | http://hdl.handle.net/10362/70412 |
| visible | 1 |