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Interest Rate Risk Management

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  • Andrew Ang
  • Michael Sherris

Abstract

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 and mortgage-backed securities as well as those for annuity products, life insurance products with interest-rate-sensitive withdrawals, accrued liabilities for defined-benefit pension funds, and property and casualty liability cash flows.

Suggested Citation

  • Andrew Ang & Michael Sherris, 1997. "Interest Rate Risk Management," North American Actuarial Journal, Taylor & Francis Journals, vol. 1(2), pages 1-26.
    • Handle: RePEc:taf:uaajxx:v:1:y:1997:i:2:p:1-26
    DOI: 10.1080/10920277.1997.10595601
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    Cited by:

    1. Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.
    2. Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.

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