Interest rate risk (IRR)
Interest Rate Risk - Models Similarities and differences
By comparing three different approaches to interest rate modelling, namely
* spot,
* forward and
* market models,
Han Lee of Commerzbank Securities finds that each has a different method
of constructing the effective volatility function, which determines its use.
Han H Lee is head of fixed-income derivatives research at Commerzbank
Securities in London.
See also Basel on Interest Rae risk, OCC / Treasury on interest rate risk,
and the FDIC on interest rate risk management.