INTEREST RATE RISK IN THE BANKING BOOK ppt

... rate risk into two components: traded interest rate risk and non-traded interest rate risk. (The latter is often referred to as interest rate risk on the balance sheet or in the banking book. ) ... markets (ie the interest rate risk inherent in an ADI’s ‘trading book ) 3 . ADIs are not required to hold capital against interest rate risk in...

Ngày tải lên: 15/03/2014, 01:20

... interest- rate risk of a bank is to focus on the flow of earnings. This would involve measuring the impact upon the net interest income of a unit change in interest rates. This is sometimes called the ... made in this process, for the accounting year 2001-02, are summarised as follows: • The interest- rate on savings bank deposits: 3.54%. • The interest rate on...

Ngày tải lên: 06/03/2014, 14:20

... decrease in interest rates, and this means that the bank will lose money in the cash market if rates decline. By selling interest rate forwards, futures or by engaging in an interest rate swap in ... decreases in interest rates (Sinkey 2002). Interest rate swaps can thus reduce interest rate risk either by converting a fixed -rate in- come stream to a...

Ngày tải lên: 15/03/2014, 01:20

... being associated with the risk of death among elderly people (25). Our ndings let us accept our working hypothesis and state that oral health increased mortality risk in our sample of the institutionalised ... dependent). Their medical histories were checked for obtaining data on entry to institutions and the medicines being used. A doctor estimated the number of patholo...

Ngày tải lên: 05/03/2014, 21:20

... solu- tion using this method, we must circumscribe the interest rate rule so that the limiting sum in the solution for the in ation rate in (15) is finite as we look further and further ahead. 13 In the ... real income, and the nominal interest rate. In ation and In ationary Expectations During the 1950s and 1960s, the simple IS model proved inappropriate for...

Ngày tải lên: 06/03/2014, 02:21

... earnings of banks from loans market are a function of interest rate on loans since probability of default of borrower is increasing with higher interest rates. Increasing interest rates could increase ... (1994) deem the mechanism through adjustment costs and the elasticity of the demand for loans in order to explain the interest rate stickiness. They suggest that b...

Ngày tải lên: 15/03/2014, 02:20

... state that the paper is preliminary. Materials published in this series may be subject to further publication. Central Bank Interventions, Communication and Interest Rate Policy in Emerging European ... PAPERS MT-DP – 2006/15 Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies BALÁZS ÉGERT INSTITUTE OF ECONOM...

Ngày tải lên: 15/03/2014, 14:20

... bank interest rates was highest in the Mediterranean countries reflecting the particular strong decline in the overall level of interest rates in those countries. Table 5.4 details the market ... support the conclusion that the interest rate series are integrated of order 1, so that I(1) holds. Given these findings, we proceed to test on cointegration between b...

Ngày tải lên: 15/02/2014, 05:20

... However, the effect over risk of politicización of the decision making is not clearly defined (La Porta et al., 2002). In one hand, the interest of politicians in conserving the use of the savings ... increase therefore the risk of the Savings bank. 3·. A risk- taking model In order to identify the factors that lead to a financial institution being unable to...

Ngày tải lên: 16/02/2014, 06:20

... (2008) for Germany investigate the determinants of the banks’ exposure to interest rate risk. They find that the belonging to certain banking groups, the banks’ size, their earnings and balance ... positions in their banking book. Our dataset concerning the Basel interest rate coefficient consists of two sources: the notifications in the event that the losses ex...

Ngày tải lên: 16/02/2014, 06:20