SYSTEM AND METHOD FOR IMPROVING THE MINIMIZATION OF THE INTEREST RATE RISK

摘要

A system for interest rate risk management (100), comprising: an input device (200), configured to receive as input a first group of data (300) indicative of a first group of financial instruments to be protected; a second group of data (400) indicative of a second group of financial instruments aimed at protecting said first group of financial instruments; and an interest rate risk minimization device (1200), connected to said input device (200), configured to receive as input said first and second group of data, a data feed of current market prices of said first and second group of financial instruments (1100), a set of parameters of a term structure model (1000), and historical zero-coupon term structures of interest rates (800), and to generate historical model errors and, considering these errors (1400), the optimal amount to be invested in each financial instrument which shall be used to protect the balance sheet or portfolio (1600). The interest rate risk minimization device (1200) is further configured to generate a residual risk estimation (1700).