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Implementing interest rate swaps in the risk management of a credit institute – a practical analysis
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This Work Project has been developed in the course of an internship done at a credit institute and analyzes hedging strategies based on interest rate swaps that enable isolated management of interest rate risk. It follows a practical approach to test five fair value hedges, which are thought to immunize against different term structure shifts. Additionally, a strategy is devised that hedges interest rate risk in forecasted earnings, which is expressed by an earnings shortfall below certain minimum threshold values in different planning scenarios.
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Interest rate risk Interest rate swap Immunization Hedging