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 soun...

Ngày tải lên: 15/03/2014, 02:20

... 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...

Ngày tải lên: 15/03/2014, 01:20

Ngày tải lên: 15/02/2014, 05:20

... 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 Supervisi...

Ngày tải lên: 15/02/2014, 05:20

... 658 Asphalt & Road Oil - - 513 - - 513 Petroleum Coke - - 398 - 61 459 Lubricants - - 78 73 - 151 Aviation Gas - - - 18 - 18 Other Petroleum - - 1,435 - - 1,435 Total 877 371 4,928 ... Department of Energy, Energy Information Administration, International Petroleum Monthly, April 2004. 0 1 2 3 4 5 3/5 1-1 0 / 54 11/5 6-3...

Ngày tải lên: 22/02/2014, 09:20

... p50, p75 denote the 25th, 50th, 75th percentile, respectively. -3 .5 -3 -2 .5 -2 -1 .5 -1 -0 .5 0 0.5 1 200 5-0 9 200 6-0 9 200 7-0 9 200 8-0 9 200 9-0 9 Cumulative change in exposure (percentage points) 0 0.5 1 1.5 2 2.5 3 3.5 4 Benchmark ... Determinants of interest rate exposure of Spanish banking industry. Working Paper of University of Castilla-...

Ngày tải lên: 16/02/2014, 06:20

... full exposure to interest rate risk. First, it does not incorporate off-balance-sheet items, such as interest rate derivatives, which can be used to take on or he dge interest rate risk; for this ... variables interacted with each interest rate surprise are jointly equal to zero. 23 Table 6: Effect of Interest Rate Surprise on Bank Stock Returns (By Usage of Interest...

Ngày tải lên: 17/02/2014, 03:20

... 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 not have unusual or complex asset characteristics. SOURCES OF INTEREST RATE...

Ngày tải lên: 06/03/2014, 02:21

... 0.0 - Mar-92 12. 0-1 3.0 12.5 12.0 0.5 2.5 Mar-93 11. 0-1 1.0 11.0 12.0 -1 .0 -1 .0 Mar-94 10. 0-1 0.0 10.0 12.0 -2 .0 -2 .0 Mar-95 11. 0-1 1.0 11.0 12.0 -1 .0 -1 .0 Mar-96 12. 0-1 3.0 12.5 12.0 0.5 0.5 Mar-97 ... 1.0 Mar-03 4. 3-6 .3 5.3 5.0 0.3 -1 .3 Mar-04 4. 0-5 .5 4.8 4.5 0.3 -0 .3 Mar-05 5. 3-6 .3 5.8 4.75 1.0 1.3 Mar-06 6. 0-7 .0 6.5 5.5 1....

Ngày tải lên: 15/02/2014, 05:20

... overall interest rate risk profile. 2. Assess the impact of off-balance sheet derivatives on the bank’s interest rate risk profile given management s stated intent for their use. Other Sources of Interest ... Risk Assessment System for Interest Rate Risk 43 D. Community Bank Risk Assessment System for Interest Rate Risk 46 E. Common Interest Rate Risk...

Ngày tải lên: 06/03/2014, 14:20