Tài liệu ADVISORY ON INTEREST RATE RISK MANAGEMENT doc

... 11 Basel Committee on Banking Supervision: Principles for the Management of Interest Rate Risk http://www.bis.org/publ/bcbs108.pdf?noframes=1 1 ADVISORY ON INTEREST RATE RISK MANAGEMENT January ... Real Estate Concentrations and Interest Rate Risk Management for Credit Unions with Large Positions in Fixed Rate Mortgages (03-CU-15) http://www.ncua.gov/...

Ngày tải lên: 15/02/2014, 05:20

Ngày tải lên: 15/02/2014, 05:20

... hedged. Examples of Interest Rate Hedging Strategies A wide variety of interest rate hedging strategies have been devised in the few years since interest rate futures were first introduced. Interest rate futures can ... position. Investors use long hedges to protect against falling interest rates by fixing interest rates on future in- vestments. One way to think of a lon...

Ngày tải lên: 15/02/2014, 05:20

... sterling interest rate futures contract that settles on the three-month BBA Libor rate prevailing on the contract’s delivery date. Contracts are standardised and traded between members of the London ... forward rate BLC two-week forward rate SONIA one-month forward Two-week GC repo rate Bank’s two-week repo rate 0.0 1999 (a) As at 27 October. Inferring market interest rat...

Ngày tải lên: 15/02/2014, 05:20

... the policy rate along with its inflation and output-gap forecasts. Why then do most central banks conceal their conditional infla- tion forecasts by not revealing their expected interest rate paths? Would ... publish its interest rate fore- cast, the private sector no longer knows for sure why the interest rate has been raised. For the sake of reasoning, let us consider two possib...

Ngày tải lên: 17/02/2014, 03:20

... Liquidity Risk Management and Supervision Fundamental principle for the management and supervision of liquidity risk Principle 1 A bank is responsible for the sound management of liquidity risk. ... senior management of a bank may pay more attention to other, higher frequency risks or may limit a bank’s liquidity risk mitigation due to competitive considerations. In addit...

Ngày tải lên: 21/02/2014, 11:20

... implementing the interest rate risk management policies;  ensuring that interest rate risk is managed and controlled within the interest rate risk management programme; Interest Rate Risk Management ... Interest Rate Gap Positions See “Mismatch Position”. Interest Rate Risk The potential impact of movements in interest rates on the i...

Ngày tải lên: 15/03/2014, 02:20

... 1998 Page 1 Interest- Rate Risk Management Section 3010.1 Interest- rate risk (IRR) is the exposure of an institution’s financial condition to adverse move- ments in interest rates. Accepting this risk ... including credit risk, concentration risk, interest- rate risk (including prepayment risk) , operational risk, liquidity risk, moral-recourse risk, and funding r...

Ngày tải lên: 29/03/2014, 13:20

Ngày tải lên: 12/12/2013, 15:15

Ngày tải lên: 12/12/2013, 15:15