STANDARDS OF SOUND BUSINESS PRACTICES - INTEREST RATE RISK MANAGEMENT ppt

... developing and implementing effective interest rate risk management and control procedures. Interest Rate Risk Management Policies Sound and prudent interest rate risk management requires clear policies. ... rate risk positions and risk profile, a comprehensive interest rate risk management programme requires:  establishing and implementing sound and prudent interest rate risk policies; Interest ... in interest rates on the institution. Interest Rate Risk Position The amount of the institution’s exposure to interest rate risk. Interest Rate Sensitive Assets/Liabilities Interest...

THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx

... of any bank’s interest rate risk management strategy and also its total risk management strategy to ensure optimal financial performance. Apart from interest rate risk management by means of ... encounter interest rate risk in several ways. The primary and most often discussed source of interest rate risk stems from timing differences in the repricing of bank assets, liabilities and off-balance-sheet ... the reverse of the money center banks’. The savings bank could hedge its interest rate risk exposure by transforming the short-term floating -rate nature of its liabilities into fixed -rate liabilities...

Tài liệu INTEREST RATE RISK MANAGEMENT AT TENTH DISTRICT BANKS pptx

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Tài liệu ADVISORY ON INTEREST RATE RISK MANAGEMENT doc

... Lending and Balance sheet Management (99-CU-12) Asset Liability Management Procedures (00-CU-10) Liability Management - Rate- Sensitive and Volatile Funding Sources (01-CU-08) Managing Share Inflows ... http://www.occ.treas.gov/ftp/bulletin/200 0-1 6.doc Risk Management of Financial Derivatives http://www.occ.treas.gov/handbook/deriv.pdf Office of Thrift Supervision: Management of Interest Rate Risk; Investment ... Times (01-CU-19) Non-maturity Shares and Balance Sheet Risk (03-CU-11) Real Estate Concentrations and Interest Rate Risk Management for Credit Unions with Large Positions in Fixed Rate Mortgages...

Tài liệu PEAKING OF WORLD OIL PRODUCTION: IMPACTS, MITIGATION, & RISK MANAGEMENT pptx

... 658Asphalt & Road Oil - - 513 - - 513Petroleum Coke - - 398 - 61 459Lubricants - - 78 73 - 151Aviation Gas - - - 18 - 18Other Petroleum - - 1,435 - - 1,435Total 877 371 4,928 ... Department of Energy, Energy Information Administration, International Petroleum Monthly, April 2004. 0123453/5 1-1 0/5411/5 6-3 /5712/6 6- 3/676/6 7- 8- 675/7 0- 1/714/7 1- 8/713/7 3-5 /7310/7 3- 3/744/7 6- 5/765/7711/7 8- 4/7910/80 -1 2/808/9 0-1 0/904/9 9- 3/004/03avg. ... 0123453/5 1-1 0/5411/5 6-3 /5712/6 6- 3/676/6 7- 8- 675/7 0- 1/714/7 1- 8/713/7 3-5 /7310/7 3- 3/744/7 6- 5/765/7711/7 8- 4/7910/80 -1 2/808/9 0-1 0/904/9 9- 3/004/03avg. gross supply shortfall (mdb)02468101214shortfall as a percent of productionleft...

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

... p50, p75 denote the 25th, 50th, 75th percentile,respectively. -3 .5 -3 -2 .5 -2 -1 .5 -1 -0 .500.51200 5-0 9 200 6-0 9 200 7-0 9 200 8-0 9 200 9-0 9Cumulative change in exposure (percentage points)00.511.522.533.54Benchmark ... Determinants of interest rate exposure of Spanish banking industry. Working Paper of University of Castilla-LaMancha.Czaja, M G., H. Scholz, and M. Wilkens (2010). Interest rate risk rewards ... the ratio of the bank’s interest rate exposure to the interest rate risk exposure of the bond portfolio, i.e.ki(t)=BV Pi(t)BV PS. (11)If the same exposure to interest rate risk translates...

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

... full exposure to interest rate risk. First, it does not incorporateoﬀ-balance-sheet items, such as interest rate derivatives, which can be used to take on or he dge interest rate risk; for this ... variablesinteracted with each interest rate surprise are jointly equal to zero.23Table 6: Eﬀect of Interest Rate Surprise on Bank Stock Returns(By Usage of Interest Rate Derivatives) Interest Rate SurpriseMedian ... LOTH× ∆ffu -7 .356* -9 .672** -1 1.01**(3.903) (4.230) (5.269)LOTH× (∆ym− ∆ffu) -6 .875 -9 .128** -9 .322*(4.987) (4.393) (5.394)Savings deposits: SD × ∆ffu -7 .793* -8 .750 -7 .937(4.637)...

An Analysis of Commercial Bank Exposure to Interest Rate Risk doc

... concentrations.Off-balance-sheet instruments, on the other hand,have grown dramatically and are an important part of the management of interest rate risk at certain banks.The notional amount of interest rate ... broadly measuring the interest rate risk exposure of institutions that do nothave unusual or complex asset characteristics.SOURCES OF INTEREST RATE RISK Interest rate risk is, in general, the ... fundone-half or more of their total assets. This measure-ment conundrum makes estimates of interest rate risk especially difﬁcult and underscores the lack of pre-cision in any measure of bank interest...

Tài liệu Deregulation of Savings Bank Deposit Interest Rate: A Discussion Paper pptx

... 0.0 - Mar-92 12. 0-1 3.0 12.5 12.0 0.5 2.5Mar-93 11. 0-1 1.0 11.0 12.0 -1 .0 -1 .0Mar-94 10. 0-1 0.0 10.0 12.0 -2 .0 -2 .0Mar-95 11. 0-1 1.0 11.0 12.0 -1 .0 -1 .0Mar-96 12. 0-1 3.0 12.5 12.0 0.5 0.5Mar-97 ... 1.0Mar-03 4. 3-6 .3 5.3 5.0 0.3 -1 .3Mar-04 4. 0-5 .5 4.8 4.5 0.3 -0 .3Mar-05 5. 3-6 .3 5.8 4.75 1.0 1.3Mar-06 6. 0-7 .0 6.5 5.5 1.0 1.8Mar-07 7. 5-9 .0 8.3 6.0 2.3 2.8Mar-08 7. 5-9 .0 8.3 6.0 2.3 2.3Mar-09 ... 0.5Mar-97 11. 0-1 3.0 12.0 12.0 0.0 0.0Mar-98 10. 5-1 2.0 11.3 10.5 0.8 -0 .7Mar-99 9. 0-1 1.5 10.3 8.0 2.3 -0 .3Mar-00 8. 5-1 0.5 9.5 8.0 1.5 1.5Mar-01 8. 5-1 0.0 9.3 7.0 2.3 1.3Mar-02 7. 5-8 .5 8.0 6.5...

Interest Rate Risk Comptroller’s Handbook pot

... overall interest rate risk profile.2. Assess the impact of off-balance sheet derivatives on the bank’s interest rate risk profile given management sstated intent for their use.Other Sources of Interest ... Risk Assessment System for Interest Rate Risk 43D. Community Bank Risk Assessment System for Interest Rate Risk 46E. Common Interest Rate Risk Models 48F. In-House versus Vendor Interest Rate ... 2Effective Risk Management Process 3Organizational Structures for Managing Interest Rate Risk 4Evaluation of Interest Rate Exposures 5Supervisory Review of Interest Rate Risk Management 6 Risk Identification...

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