Analysis of Various Approaches and Methods to Interest Rate Risk Assessment

Student: Bezlepkina Mariia

Educational Programme: Stochastic Modelling in Economics and Finance (Master)

Year of Graduation: 2024

Accurate assessment of insurance risks plays a key role in the work of the company. It determines the amount of the insurer's own funds required to cover losses resulting from significant deviations in the prices of financial assets, realization of counterparties' credit risks or deviation from the expected values of insured losses. The paper raises the issue of determination and assessment of interest rate risk, analyzes the main methods of its calculation, studies the directives applied in Russia and abroad. The assessment of interest rate risk was carried out on the example of a portfolio consisting of Russian bonds. Based on the results obtained, conclusions are drawn on the applicability of the models in practice in insurance companies.

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