Essays on the Modeling of Risks in Interest-rate and Inflation Markets

Dissertation o. Habilitation

The topic of this thesis is the modeling of risks in interest-rate and inflation markets. Interest-rate risk is an important issue to investors. For instance, according to BIS (2010) the notional value of over-the-counter interest-rate derivatives markets is 465,260 billion US-dollar. This corresponds to 77 percent of the notional of the entire OTC derivatives market. Thus interest-rate derivatives is at the back-bone of the financial markets. According to ISDA (2009) 83 percent of Fortune 500 companies report using interest-rate derivatives in their risk management. Furthermore, many mortgage-based loans and pension contracts contain either explicit or implicit interest-rate options. Thus a better understanding of the interest-rate derivative markets, and the risk associated with the traded products is of great value, both to financial and non-financial companies as well as individuals....

Object Details

• ISBN: 9788792842015
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: PhD Series ; No. 20.2011

Classification and Topics

• Classification: Management

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Tang Andersen, Allan Sall
• Event: Veröffentlichung
• (who): Copenhagen Business School (CBS)
• (where): Frederiksberg
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/208785
• Last update: 10.03.2025, 11:44 AM CET