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- Title
Rate Shocks in Value-Based Measures of Interest Rate Risk.
- Authors
Arnold, Michael R.; Zhao, Dai
- Abstract
The article presents a study of interest rate shocks as a basis for measurement and management of earnings- and value-based interest rate risk. It finds that rate-shock methodologies for reducing value-based interest rate risk results in an understatement of risk. The article says that rate shocks may not be a consistent guide in understanding the economic value of equity-at-risk in stress-based risk environments. It states regulators worried about risks to insurance funds should consider techniques which provide more reliable measurement and reporting.
- Subjects
INTEREST rates; PROFIT; INTEREST rate risk; RISK; STOCKS (Finance)
- Publication
Bank Accounting & Finance (08943958), 2009, Vol 22, Issue 4, p22
- ISSN
0894-3958
- Publication type
Article