CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY

Cash Sub-additive Risk Measures and Interest Rate Ambiguity

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numéraire of the current reserve amounts and future positions. Consequently, cash subadditive risk measures can m...

Interest Rate Risk Management: Developments in Interest Rate Term Structure Modeling for Risk Management and Valuation of Interest-rate-dependent Cash Flows

This paper surveys the main concepts and techniques of recent developments in the modeling of the term structure of interest rates that are used in the risk management and valuation of interest-rate-dependent cash flows. These developments extend the concepts of immunization and matching to a stochastic interest rate environment. Such cash flows include the cash flows on assets such as bonds an...

Interest Rate Risk

Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles

We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper [10]. These risk measures take into account not only the amounts but also the timing of a cash flow. We discuss their robust representation in terms of suitably penalized probability measures on the optional σ-field. This yields an explicit ...

Supervising Interest Rate Risk Management

made significant efforts to establish and improve their procedures for interest rate risk management, including using economic models of interest rates and related models of credit risk (Lopez 2001a, b).At the same time, bank supervisors worldwide, including the Federal Reserve, have been expanding their knowledge and oversight of interest rate risk management techniques. For example, U.S. bank...