Market Risk (Interest Rates)

Robert Jarrow ()

Chapter 5 in The Economic Foundations of Risk Management:Theory, Practice, and Applications, 2017, pp 47-52 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The BSM model assumes no interest rate risk. This is unrealistic and needs to be relaxed. Its relaxation is given by the Heath Jarrow Morton (HJM) model [23] extended to include risky assets as in Amin and Jarrow [1]. This is the content of this Chapter.

Keywords: Risk Management; Derivatives; Value-at-Risk; Funding Risk; Financial Engineering (search for similar items in EconPapers)
JEL-codes: G31 (search for similar items in EconPapers)
Date: 2017
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