Description: There have been many examples of interest rate swap deals which have not produced the desired results for the end-user, largely due to unanticipated interest rate movements. While the authors of this paper strongly believe that derivatives, such as IR swaps, are powerful tools, which when used properly can effectively transfer risk and enhance the efficiency of markets, they also believe it is critically important to analyze the potential exposure to interest-rate risk. In this article, they provide the necessary background to measure this potential exposure.

Description: There have been many examples of interest rate swap deals which have not produced the desired results for the end-user, largely due to unanticipated interest rate movements. While the authors of this paper strongly believe that derivatives, such as IR swaps, are powerful tools, which when used properly can effectively transfer risk and enhance the efficiency of markets, they also believe it is critically important to analyze the potential exposure to interest-rate risk. In this article, they provide the necessary background to measure this potential exposure.

Description: This abstract describes a paper in which the relationship between the estimates arrived at using Copula Regression and the CDF transformed linear approximation to Copula Regression are analytically explored.

Description: Abstract of Research Project on Interest Rate Risk

Description: This abstract describes a paper in which several issues surrounding the 2011 paper “Copula Regression”, Variance volume 5-issue1, by Rahul A. Parsa and Stuart A. Klugman, are discussed.