Interest rate risk management

Ngày tải lên: 15/02/2014, 05:20

... combination of actions, depending on the facts and circumstances of the individual institution IRR management should be an integral component of an institution’s risk management infrastructure Management ... Statement on Interest Rate Risk http://www.fdic.gov/news/news/financial/1996/fil9652.pdf Additional Federal Deposit Insurance Corporation: Risk Management Manual of...

Ngày tải lên: 15/02/2014, 05:20

... Interest 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 Rate ... the interest rate risk management programme to the board at least once a year Bank of Jamaica March 1996 Interest Rate Risk Management Bank of Jamai...

Ngày tải lên: 15/03/2014, 02:20

... transactions, including credit risk, concentration risk, interest-rate risk (including prepayment risk) , operational risk, liquidity risk, moral-recourse risk, and funding risk However, since the securitization ... adequacy of risk identification, risk measurement, and risk reporting An important element of a bank’s internal controls for interest-rate risk is management...

Ngày tải lên: 29/03/2014, 13:20

... 5.2 Earnings from term transformation 12 Conclusion 14 Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure1 ... Trinkaus Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure Christoph M...

Ngày tải lên: 16/02/2014, 06:20

... Division of Monetary Affairs, Federal Reserve Board E-mail: william.b.english@frb.gov † Division of Research & Statistics, Federal Reserve Board E-mail: skander.j.vandenheuvel@frb.gov ‡ Division of Monetary ... Exposure and the Interest Rate and Exchange Rate Risks of U.S Banks,” Journal of Financial Services Research, 12, 267–286 Demsetz, R S and P E...

Ngày tải lên: 17/02/2014, 03:20

... adjustments to cash flows (such as principal prepayments) to the specific magnitude and level of the rate shock An Analysis of Commercial Bank Exposure to Interest Rate Risk provide an estimate of the ... and the output of the OTS Net Portfolio Value model for the present study An Analysis of Commercial Bank Exposure to Interest Rate Risk va...

Ngày tải lên: 06/03/2014, 02:21

... addition to national banks.* Interest Rate Risk Low Interest Rate Risk Moderate Interest Rate Risk High Responsible officials fully understand all aspects of interest rate risk Responsible officials ... Structures for Managing Interest Rate Risk Evaluation of Interest Rate Exposures Supervisory Review of Interest Rate Risk Management Risk Identificati...

Ngày tải lên: 06/03/2014, 14:20

... about the banking system In India, large reserve requirements imply that a policy of stretching out the yield curve innately involves forcing banks to increase the maturity of their assets Internationally, ... banks and the Indian banking system as a whole? • Are banks in India homogeneous in their interest-rate risk exposure, or is there strong cross-sectional het...

Ngày tải lên: 06/03/2014, 14:20

... and those with higher interest rate risk exposure or holding of complex instruments with significant interest- rate option characteristics may require more elaborate and formal interest rate risk ... and maintain effective internal controls over the interest rate risk management process; monitor the licensee’s overall interest rate risk profile and ensure th...

Ngày tải lên: 15/03/2014, 01:20

... supervising interest rate risk in the banking book In broad terms, the principles address: • • • • the role of the Board and senior management in overseeing interest rate risk management; the need ... managing interest rate risk, and (ii) assess the extent of interest rate risk being run by an ADI The principles set out the essential features o...

Ngày tải lên: 15/03/2014, 01:20

... Size of the interest rate shock; k = bank’s leverage ratio (L/A) The bank’s manager is supposed to wish to determine the optimal number of put options to buy to insulate the bank against rising interest ... change in interest rates on the balance sheet is assumed to be equal to the change in the interest rate on the bond underlying the option...

Ngày tải lên: 15/03/2014, 01:20

... cpaaustralia.com.au Understanding and Managing Interest Rate Risk Definition – what is interest rate risk? Interest rate risk should be managed where fluctuations in interest rate impact on the ... is interest rate risk?  Sources of interest rate risk 3 Impact of adverse movements in interest rates on organisations 4 Methods to measure interest rat...

Ngày tải lên: 15/03/2014, 02:20

... How and Why Do Small Firms Manage Interest Rate Risk? Evidence from Commercial Loans James Vickery Federal Reserve Bank of New York Staff ... fixed -rate and adjustable -rate loans to see how small firms manage their exposure to interest rate risk Credit-constrained firms are found to match significantly more often with fixed -rate loans, ......

Ngày tải lên: 15/03/2014, 10:20

... presents the conclusions (3) “Principles for the management and supervision of interest rate risk (4) The banking book includes all the instruments not included in the trading book The trading book ... estimate the impacts of a 200 basis points (b.p.) change in the interest rate on net worth and on net income The qualitative nature of the prudential approach...

Ngày tải lên: 22/03/2014, 17:20