Special Issue "Interest Rate Risk Modelling in Transformation"
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (20 January 2020) | Viewed by 10397
Interests: derivative securities pricing; term structure of interest rates; model risk; quantitative finance techniques; credit risk modelling; computational finance
The modelling of interest rate risk has been undergoing considerable transformation for some time now. However, on many issues, a settled consensus (among practitioners and academics alike) has yet to emerge, and new challenges continue to arise. An example of the former are the basis spreads observed in floating-for-floating swaps, be they in a single currency with two payment legs of different frequencies (also known as the tenor basis) or across two different currencies (the cross-currency basis). An example of the latter are the problems arising from the imminent abolition of LIBOR and similar rates in other jurisdictions, and their replacement by benchmarks calculated in a substantially different manner. Very often, these issues are linked—for example, the spread between LIBOR and OIS (overnight index swaps) could be seen as an extreme example of a tenor basis (where the shorter frequency is daily).
This Special Issue aims to compile high-quality papers that offer a discussion of the state-of-the-art or introduce new theoretical, empirical or practical developments in this area. Topics for this Special Issue include but are not limited to the following:
- Theoretical modelling and empirical analysis of the tenor basis or the cross-currency basis. This includes any research dealing with these “multicurve” phenomena, e.g., their theoretical causes, implications for derivative pricing, and empirical studies;
- Theoretical and practical issues arising from the abolition and replacement of LIBOR and related benchmarks;
- Modelling interest rate risk when valuation adjustments (XVA) are required, e.g., FVA (funding valuation adjustment), MVA (margin valuation adjustment), KVA (capital valuation adjustment);
- Quantifying model risk (i.e., the risk that the model is wrong) in interest rate term structure models.
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
- Interest rates
- Interest rate derivatives
- Tenor basis
- Cross-currency basis
- LIBOR replacement
- LIBOR/OIS spread
- Interest rate model risk