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SUPERVISORY AND REGULATORY GUIDELINES: PU42-0408 Interest Rate Risk pot

SUPERVISORY AND REGULATORY GUIDELINES: PU42-0408 Interest Rate Risk pot

SUPERVISORY AND REGULATORY GUIDELINES: PU42-0408 Interest Rate Risk pot

... Page 1 of 10 SUPERVISORY AND REGULATORY GUIDELINES: PU42-0408 Interest Rate Risk Issued: 13 th August 2012 GUIDELINES FOR THE MANAGEMENT OF INTEREST RATE RISK 1. INTRODUCTION ... licensee’s interest rate risk; v. establish and maintain effective internal controls over the interest rate risk management process; vi. monitor the licensee...

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Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure pdf

Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure pdf

... of the interest rate betas. The sign of the interest rate beta provides an indication of the direction of a BHC’s interest rate risk exposure. In measuring the extent of interest rate risk, however, ... idea that BHCs use derivatives to hedge interest rate risk exposure. Specifically, the positive correlation between interest rate swap activity and interest...

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Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx

Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx

... intermediaries and interest rate risk: II. Financial Markets, Institutions and Instruments 15 (5), 225–272. 16 Svensson, L. E. O. (1994). Estimating and interpreting forward interest rates: Sweden 1992 ... this standardized interest rate shock. Currently, the standardized interest rate shock consists of two parts: a parallel upward shift of 130 basis points (bp) in the en...

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Tài liệu Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations doc

Tài liệu Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations doc

... Bank Stock Returns to Changes in Interest Rates (By Bank Characteristics and the Usage of Interest Rate Derivatives) Interest Rate Surprise Variable × Interest Rate Surprise Level Slope Swaps ... quite sticky and, in many cases, the rates paid on these deposits respond very sluggishl y to changes in market interest rates; see, for exam- ple, Hannan and Berger [1991] and...

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Understanding and Managing Interest Rate Risk doc

Understanding and Managing Interest Rate Risk doc

... cpaaustralia.com.au 3 Understanding and Managing Interest Rate Risk 1. Definition – what is interest rate risk? Interest rate risk should be managed where fluctuations in interest rate impact on the organisation’s ... is interest rate risk? 3 2. Sources of interest rate risk 3 3. Impact of adverse movements in interest rates on organisations 4 4. Methods to m...

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How and Why Do Small Firms Manage Interest Rate Risk? Evidence from Commercial Loans pot

How and Why Do Small Firms Manage Interest Rate Risk? Evidence from Commercial Loans pot

... sensitive to interest rates and other external shocks, empirical work on corporate risk management has focused instead on large public companies. This paper studies fixed -rate and adjustable -rate loans ... of fixed -rate commercial loans are consistent with recent evidence on “debt market timing.” Key words: fixed -rate loan, adjustable -rate loan, corporate risk management,...

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Interest Rate Risk and Bank Common Stock Returns: Evidence from the Greek Banking Sector pot

Interest Rate Risk and Bank Common Stock Returns: Evidence from the Greek Banking Sector pot

... Elyasiani, E. and Saunders, A. (1996) “Derivative Exposure and the Interest Rate and Exchange Rate Risks of US Banks”, New York University Salomon Center Working Paper, No. 69-25 Dickey, D., and Fuller, ... Flannery, M., Hameed, A., and Harjes, R. (1997) “Asset Pricing, Time-Varying Risk Premia and Interest Rate Risk , Journal of Banking and Finance, 21, 315-335...

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Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc

Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc

... marked-to-market and interest rate risk arises due to volatility in the bank’s net interest income. In contrast to standard models, however, we integrate credit and interest rate risk using the ... credit, interest rate risk in the banking book, operational and other risks) and computing returns on risk weighted assets, Kuritzkes and Schuermann (2007) find t...

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Tài liệu INTEREST RATE RISK MANAGEMENT AT TENTH DISTRICT BANKS pptx

Tài liệu INTEREST RATE RISK MANAGEMENT AT TENTH DISTRICT BANKS pptx

Ngày tải lên: 15/02/2014, 05:20

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Tài liệu ADVISORY ON INTEREST RATE RISK MANAGEMENT doc

Tài liệu ADVISORY ON INTEREST RATE RISK MANAGEMENT doc

... for managing interest rate risk. The level of structure and formality in this process should be commensurate with the activities and level of risk approved by senior management and the board. ... to fully understand the underlying analytics, assumptions, and methodologies and ensure such systems and processes are incorporated appropriately in the strategic (long-term) a...

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