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Financial Risk Management: Management of Interest Risk from a Corporate Treasury Perspective in a Service Enterprise
Jana Schönborn
Verlag Diplomica Verlag GmbH, 2010
ISBN 9783836646185 , 63 Seiten
Format PDF, OL
Kopierschutz frei
Geräte
Financial Risk Management
1
Table of Contents
5
List of Figures
7
List of Abbreviations
8
1. Introduction
9
2. Essentials of Financial Risk Management in a Service Enterprise
10
2.1. Why Manage Financial Risk?
10
2.2. Classification of Interest Rate Risk in the Framework of Risk Management
11
2.3. The Financial Risk Management Cycle
13
2.4. Insight into the Service Sector and its Current Trends with respect to Financial Risk Management
15
3. Treasury as a Central Institution of Financial Risk Management
18
3.1. Corporate Treasury Risk Management and its Influencing Factors
18
3.2. Financial Risk Management within the Scope of the Treasury Risk Policy
19
4. Quantifying Interest Rate Risk
21
4.1. Understanding Interest Rate Risk
21
4.2. Duration and Convexity
23
4.3. Value at Risk
26
4.3.1. The Concept of Value at Risk
26
4.3.2. Historical Simulation
29
4.3.3. Variance-Covariance-Approach
30
4.3.4. Value at Risk of Derivatives
33
4.4. Cash Flow Mapping
33
4.4.1. Determining the Cash Flow Structure
33
4.4.2. Sensitivity Mapping
35
4.4.3. Variance Mapping
37
4.5. Implications for a Service Enterprise
38
5. Interest Risk Management Techniques
41
5.1. Hedging
41
5.1.1. Introduction to Hedging
41
5.1.2. Symmetric Hedging Instruments
42
5.1.3. Asymmetric Hedging Instruments
45
5.2. Implications for the Portfolio Alignment of a Service Enterpr
49
5.2.1. Duration
49
5.2.2. Benchmark
51
5.2.3. VaR Limit
51
6. Conclusion
53
7. Appendices
55
8. Bibliography
60
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