THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx
THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx
... August, 2003] Investment Management and Financial Innovations, 2/2004 60 The Use of Derivatives to Manage Interest Rate Risk in Commercial Banks Soretha Beets 1 Abstract Interest rate risk can ... change in interest rates on the balance sheet is assumed to be equal to the change in the in- terest rate on the bond underlying the option c...
Ngày tải lên: 15/03/2014, 01:20
Promoting the Use of End-to-End Congestion Control in the Internet pptx
... simulation in Figure 4 uses the scenario in Figure 1, with the bandwidth of the R2-S4 link set to 128 Kbps, 9% of the bandwidth of the R1-R2 link. Be- cause the final link in the path for the UDP ... router is the same as the UDP sending rate. ) The bold line (at the top of the graph) shows the aggre- gate goodput. As Figure 2 shows, when the send...
Ngày tải lên: 15/03/2014, 22:20
Central Bank Transparency, the Accuracy of Professional Forecasts, and Interest Rate Volatility pot
... direct measure of the accuracy of the individual forecasts. To measure the volatility of interest rates I calculate the standard deviation of interest rates using daily data for the three subsequent ... of interest rates due to the economic and …nancial risks that a¤ect them. To control for country risk in the analysis below, I utilize the economic an...
Ngày tải lên: 29/03/2014, 13:20
Interest-Rate Risk in the Indian Banking System docx
... measurement of the 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 ... measurement of interest- rate risk of banks while paying no attention to the off-balance sheet positions of banks on interest- rate derivatives...
Ngày tải lên: 06/03/2014, 14:20
INTEREST RATE RISK IN THE BANKING BOOK ppt
... regulators, typically split interest 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 ... taking trading positions in interest rate markets (ie the interest rate risk inherent in an ADI’s ‘trading book’) 3 . ADIs are not required to hold capi...
Ngày tải lên: 15/03/2014, 01:20
STANDARDS OF SOUND BUSINESS PRACTICES - INTEREST RATE RISK MANAGEMENT ppt
... Rate Risk The potential impact of movements in interest rates on the institution. Interest Rate Risk Position The amount of the institution’s exposure to interest rate risk. Interest ... cost of its interest- bearing liabilities. Investment Risk In the context of interest rate risk management is the exposure of the i...
Ngày tải lên: 15/03/2014, 02:20
How and Why Do Small Firms Manage Interest Rate Risk? Evidence from Commercial Loans pot
... is that the interest rate risk of an adjustable -rate credit line is ‘contingent’, since the firm only faces risk to the extent that it actually draws down the line in the future. Given these differences, ... higher internal cashflows will at least partially offset the effects of interest rates on the supply of credit. In these industries, firms have a ‘...
Ngày tải lên: 15/03/2014, 10:20
INTEREST RATE RISK IN THE BANKING BOOK* pdf
... other things, at an accurate management of interest rate risk. Later, in 2005, the Banco de Portugal started asking banks for information concerning the banking book 4 (in the context of the Instruction ... which they apply. The other two are specific to the management of interest rate risk in the banking book. In general terms, the principles refe...
Ngày tải lên: 22/03/2014, 17:20
Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc
... months is allocated to the three-month repricing bucket. As DSS show, the repricing characteristics are the key determinant of interest rate risk in the banking book. The interest rate sensitivity ... convincing for medium to long maturities. We assume that, as the time -to- repricing increases, the interest paid by the bank on deposits gradually converg...
Ngày tải lên: 29/03/2014, 13:20
Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx
... not interested in the banks level of interest rate exposure, but in the timely changes in the exposure. English (2002) analyses the relationship of the (net) interest margin and the shape of the ... survey). The first one is about the deter- minants of the banks exposure to interest rate risk, and the second one deals with the relationship...
Ngày tải lên: 16/02/2014, 06:20