Measuring Interest Rate Risk with Embedded Option Using HPL-MC Method in Fuzzy and Stochastic Environment

<table class="table-group" id="tab1"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left">Duration gap</td><td class="align_center">The direction of interest rate change</td><td class="align_center">Changes in net assets</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left" rowspan="2">Positive number</td><td class="align_center">Rise</td><td class="align_center">Decline</td></tr><tr><td class="align_center">Decline</td><td class="align_center">Rise</td></tr><tr><td class="align_left" colspan="3"><hr/></td></tr><tr><td class="align_left" rowspan="2">Negative</td><td class="align_center">Rise</td><td class="align_center">Decline</td></tr><tr><td class="align_center">Decline</td><td class="align_center">Rise</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Interest rate risk faced by duration gap.</div>

Journal of Mathematics

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Table 1

Table 1: Measuring Interest Rate Risk with Embedded Option Using HPL-MC Method in Fuzzy and Stochastic Environment 