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Measuring Interest Rate Risk in the Treasury Operations of an International Industrial Company Group : A Case Study of Toyota Industries Finance InternationalHåkansson, Erik, Åberg, Viktor January 2012 (has links)
Background: The volatility in the interest rate market have increased during the last decade and this have made interest rate risk management more important for both financial institutions and non-financial companies with short- and long term financial commitments. Objective: The main objective of this thesis is to analyze different ways of measuring interest rate risk in the treasury operations an international industrial company group. Further, the study will also examine the way treasury departments of international industrial company group’s measure interest rate risk and explain why this method have been chosen. Method: The research method of the thesis is a case study and a mix of both quantitative and qualitative data has been used to conduct it. The quantitative data have been secondary data received from TIFI’s treasury management software and the qualitative data have been collected through a survey with eight treasury managers from other international industrial company groups. Conclusion: The repricing model is suitable because it is straight forward, fairly easy to communicate to management and it focuses on the book value. However, defining relevant time buckets might be difficult. The duration model is a good measurement tool because it can be used in a variety of ways, but a disadvantage is that it focuses on the market value, which might not be appropriate for treasury departments. Stress testing captures the true change in market value, but demands forecasts about future interest rate movements and lacks tools to manage the interest rate risk. Treasury departments of international industrial company groups use a variety of measurement methods. The most frequently used methods are duration-, maturity- and Value at Risk models and different kinds of stress tests. The method should not only measure the interest rate risk in a correct way but it should also be easily explained to management and other executives in the company that might not have knowledge about financial economics. The main difference between treasury departments and commercial banks is that commercial banks try to earn money on interest rate fluctuations, whereas treasury departments want to minimize the impact of interest rate fluctuations in order to support the company group’s core business.
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Participation in Employee Stock Option Exchange Programs and Future Stock ReturnsJanuary 2013 (has links)
abstract: In this paper, I investigate whether participation in employee stock option exchange programs contains private information about future stock returns. High participation in employee stock option exchange programs is associated with negative future abnormal returns over the ensuing 12-month period. This association is moderated by the transparency of the firm's information environment: high institutional ownership and high financial statement informativeness weaken the negative relation between participation and abnormal returns. Controlling for transparency of the firms' information environment, the association between participation and future returns arises primarily from firms that allow the CEO to participate. / Dissertation/Thesis / Ph.D. Accountancy 2013
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Analýza korunové výnosové křivky a její využití pro ALM analýzy v bance / The CZK yield curve analysis and its application for the ALM analysesWalos, Michal January 2009 (has links)
The diploma thesis deals mostly with interest rate risk issue. It describes the basic methods of interest rate risk measurement with use of analyses executing by Asset Liability Management department in banks. Such analyses as repricing GAP, net interest income analysis, market value of equity and sensitivity analyses to interest rate movements. There is an analysis of Czech crown yield curve as well, in order to deeper insight of its probability behaviour. Results of this analysis are used for advanced techniques in ALM. Especially knowledge of volatilities of particular yield points and theirs relations is used in these methods. There was also a multi equation model for predictions of yield curve development created. One of the variables in the model there is the 2-week repo rate of Czech National Bank included.
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