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 ... 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 measure int...
Ngày tải lên: 15/03/2014, 02:20
An Analysis of Commercial Bank Exposure to Interest Rate Risk doc
... additional time bands, could materially improve supervisors’ understanding and monitoring of bank risk profiles. CONCLUSION Interest rate risk does not currently appear to present a major risk to most ... broadly measuring the interest rate risk exposure of institutions that do not have unusual or complex asset characteristics. SOURCES OF INTEREST RATE RISK Interest...
Ngày tải lên: 06/03/2014, 02:21
MARKET POWER AND BANK INTEREST RATE ADJUSTMENTS - Documentos de Trabajo N.º 0539 docx
... market interest rate) and loan and deposit interest rates and from 1988 to 2002 Loan and deposit interest rates reported are linear averages of actual interest charged by Spanish banks. Interest ... where t R is the EURIBOR interest rate, α 1 is the long run adjustment proportion or pass-through rate; t Π and t GDP∆ are the inflation rate and the grow...
Ngày tải lên: 15/03/2014, 14:20
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...
Ngày tải lên: 17/02/2014, 03:20
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...
Ngày tải lên: 29/03/2014, 13:20
Tài liệu ADVISORY ON INTEREST RATE RISK MANAGEMENT doc
... process 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 ... http://www.occ.treas.gov/ftp/bulletin/2000-16 .doc Risk Management of Financial Derivatives http://www.occ.treas.gov/handbook/deriv.pdf Office of Thrift Supervision: Manage...
Ngày tải lên: 15/02/2014, 05:20
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...
Ngày tải lên: 16/02/2014, 06:20
Interest-Rate Risk in the Indian Banking System docx
... The interest- rate on savings bank deposits: 3.54%. • The interest rate on time deposits: 7%. • The interest rate on the liabilities side for borrowings by the bank: 6.58%. • The interest rate ... to measure the interest- rate risk of various banks, as perceived by the stock market. When interest rates fluctuate, stock market speculators are likely to utilise their under...
Ngày tải lên: 06/03/2014, 14:20
Understanding and Managing Risk Attitude potx
... examined. This also arises from the Understanding and Managing Risk Attitude Nature release 6 UNDERSTANDING AND MANAGING RISK ATTITUDE concept of risk as 'uncertainty that matters', ... are fundamentally different, and require managing in different ways. These two aspects of uncertainty are variability and ambiguity. 4 UNDERSTANDING AND MANAGING...
Ngày tải lên: 11/03/2014, 05:22
SUPERVISORY AND REGULATORY GUIDELINES: PU42-0408 Interest Rate Risk pot
... licensee’s interest rate risk; v. establish and maintain effective internal controls over the interest rate risk management process; vi. monitor the licensee’s overall interest rate risk profile and ... organizations and those with higher interest rate risk exposure or holding of complex instruments with significant interest- rate option characteristics may...
Ngày tải lên: 15/03/2014, 01:20