interest rate management policies
Tài liệu ADVISORY ON INTEREST RATE RISK MANAGEMENT doc
Ngày tải lên :
15/02/2014, 05:20
... Banking Supervision:
Principles for the Management of Interest Rate Risk
http://www.bis.org/publ/bcbs108.pdf?noframes=1
1
ADVISORY ON INTEREST RATE RISK MANAGEMENT
January 6, 2010
The financial ... Supervision:
Management of Interest Rate Risk; Investment Securities and Derivatives Activities
(TB-13a) http://files.ots.treas.gov/84074.pdf
Risk Management Practices in the Current Interest Rate ... significant new strategies, products and businesses
are integrated into IRR management process. Policies and procedures also should
document and provide for controls over permissible hedging strategies...
11
321
0
Tài liệu Deregulation of Savings Bank Deposit Interest Rate: A Discussion Paper pptx
Ngày tải lên :
15/02/2014, 05:20
... lending interest rates. The administered interest rate structure proved to
be inefficient. It, therefore, became necessary to reform the interest rate structure. Deregulation
of interest rates ... prime lending rate (BPLR) system with the Base Rate
system. The only interest rate that continues to be regulated now is the savings deposit interest
rate. Deregulation of interest rates in India ... market interest rates. Most countries in Asia experimented with interest rate
deregulation to support overall development and growth policies. These resulted in positive real
interest rates,...
25
448
0
Tài liệu IMPACT OF BANK COMPETITION ON THE INTEREST RATE PASS-THROUGH IN THE EURO AREA pptx
Ngày tải lên :
15/02/2014, 05:20
...
¨Market interest rate AT 0.107
***
3.05 0.229
***
2.90
¨Market interest rate BE 0.987
***
6.97 0.532
***
6.02
¨Market interest rate DE 0.657
***
3.56 0.587
***
6.27
¨Market interest rate ...
¨Market interest rate FR 0.162 1.47 0.972
***
38.82
¨Market interest rate IT 0.744
***
3.34 0.312
***
3.68 0.146 1.28
¨Market interest rate NL 0.099
**
2.45 0.463
***
4.95
¨Market interest rate ... -4.0 -3.4 -7.1 -9.6 -1.3 -7.3 -4.4 -2.4
5.2 Bank interest rates and market rates
Our bank loan interest rates are from the ECB’s MFI Interest Rate (MIR) statistics, which since
January 2003...
41
1K
0
Tài liệu Effective Interest Rate (EIR) pdf
Ngày tải lên :
15/02/2014, 05:20
...
introduce "flat interest rates" and commissions:
Possibility 3: Flat Interest Rates and their APR and EIR equivalence.
"Flat interest rates" are not interest rates per se but ...
Periodic Interest Rate
A11: =RATE( TERM,PAYMENT+FEE,LOAN*-1*(1-COMMISSION))
12
24.0%
Annual Percentage Rate (APR)
A11 * A3
13
27.1%
Effective Annual Interest Rate
...
Effective Interest Rate (EIR)
EIR = (1 + Periodic Interest Rate) ^
number of periods in a year
- 1
EIR = (1+i)^
n
- 1
The term "Periodic" in "Periodic Interest Rate& quot;...
8
412
0
Tài liệu SHORT-TERM INTEREST RATE FUTURES doc
Ngày tải lên :
15/02/2014, 05:20
... hedged.
Examples of Interest Rate Hedging Strategies
A wide variety of interest rate hedging strategies
have been devised in the few years since interest rate
futures were first introduced. Interest rate futures
can ... net
earnings caused by changes in interest rates is termed
interest rate risk.
Financial intermediaries have begun to use interest
rate futures to hedge interest rate risk. A positive
gap can be ... prices, taking on a
short position in interest rate futures produces an
opposing risk. Traders with short positions in
interest rate futures profit when interest rates rise
because the contracts give...
15
340
0
Tài liệu Inferring market interest rate expectations from money market rates pdf
Ngày tải lên :
15/02/2014, 05:20
... 2000
Forward rates, the expectations hypothesis and
term premia
Forward rates are the interest rates for future periods that are
implicitly incorporated within today’s interest rates for loans
of ... interest rates would change until the implicit forward
rates equalled expectations of future rates.
Future interest rates are, of course, not known with certainty.
Nevertheless, if forward rates ... interest rate the forward rate
(2)
of
7.77% now for borrowing in the future.
If there were no uncertainty about the path of future interest
rates then forward rates would equal expected future interest
rates....
11
469
2
Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx
Ngày tải lên :
16/02/2014, 06:20
... about banks’ interest rate risk. From a financial
stability point of view, they have to know what determines changes in banks’ exposure
to interest rate risk and whether the interest rate regulation ... have a significant impact
on their exposure to interest rate risk. In this paper, however, we are not interested in
the banks’ level of interest rate exposure, but in the timely changes in the ... interest income. Across banks, however,
the earnings from term transformation do not seem to be a decisive factor for the interest
margin.
Keywords: Interest rate risk; term transformation; interest...
40
551
1
Tài liệu Savings Bank Accounts- Interest Rate Deregulation docx
Ngày tải lên :
16/02/2014, 12:20
... A trend analysis of the SB interest rate vis-à-vis other rates like term deposit interest
rates, SBI advance rates, repo and reverse repo rates indicate that the SB rates were due
for an increase ... the deregulation
of interest rates on SB deposits. The SB interest rate, being decided by RBI, is one of the
few administered rates in India.
3. The issue of interest rate deregulation of ... deregulated interest rate environment and the reduction in
interest rates on Government’s small savings schemes in the recent period, there is an
apparent case for deregulation of interest rates...
12
477
0
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
Ngày tải lên :
17/02/2014, 03:20
... place.
5
Table 6: Effect of Interest Rate Surprise on Bank Stock Returns
(By Usage of Interest Rate Derivatives)
Interest Rate Surprise
Median Bank Level Slope
With median interest rate derivatives position ... implies a large exposure to interest rate risk.
A change in market interest rates wi l l then have a large effect on its stock price—at the same
time, changes in interest rates are known to be associated ... estimated interest rate beta s were, in general, positive for their sample of banks. Because bond prices move
inversely with interest rates, this implies that bank s tock return and interest rates...
47
528
1
Tài liệu BANK LENDING AND INTEREST- RATE DERIVATIVES pdf
Ngày tải lên :
17/02/2014, 03:20
... of derivative instruments, in particular interest- rate options, interest-
rate futures, and interest- rate forwards, is associated with higher growth rates in C&I loans.
These findings are ... model, Diamond argues that
interest- rate derivatives allow commercial banks to lessen their systematic exposure to
changes in interest rates. In addition, interest- rate derivatives create extra ... hedge all interest- rate risk by
interest- rate derivatives.
8
However, even after diversifying, banks may still face systematic
risks that cannot be diversified away.
Diamond demonstrates that...
33
481
0
Tài liệu Interest Rate Setting by the ECB, 1999–2006: Words and Deeds ∗ doc
Ngày tải lên :
17/02/2014, 03:20
... To
illustrate, the expected rate of inflation in February is computed as 10/12 of the
expected rate of inflation for this year and 2/12 of the expected rate of inflation
for next year.
Interest Rate ... mean.
that the interest rate was not changed the previous month. Assum-
ing a money-growth rate of 8.7 percent, in this case the estimated
probability of a 0.25 percent increase in interest rates is ... risen.
Vol. 3 No. 3 Interest Rate Setting by the ECB, 1999–2006 27
Figure 5. Probability of an Increase in Interest Rates
Note: Regressors are assumed to be their means.
that the money-growth rate is 8.7...
46
591
0
Tài liệu Incomplete Interest Rate Pass-Through and Optimal Monetary Policy∗ docx
Ngày tải lên :
17/02/2014, 03:20
... additional interest rate term. Yet,
our expression differs from theirs in that the interest term in (14)
is expressed by the average loan rate, not by the policy rate. Since
our model incorporates ... literature on the empirical study of interest rate
pass-through, including deposit rate pass-through.
Vol. 4 No. 3 Incomplete Interest Rate Pass-Through 103
under loan rate stabilization is greater ... policy rate to retail loan rates is
incomplete, fluctuations in the average loan rate will reduce social
welfare. This is because shifts in the average loan rate immediately
give rise to a loan rate...
42
484
1
Tài liệu The Expected Interest Rate Path: Alignment of Expectations vs. Creative Opacity∗ ppt
Ngày tải lên :
17/02/2014, 03:20
... the
Vol. 4 No. 3 The Expected Interest Rate Path 185
Qvigstad, J. F. 2005. “When Does an Interest Rate Path ‘Look
Good’ ? Criteria for an Appropriate Future Interest Rate Path—
A Practician’s Approach.” ... While the interest rate rule is the same
as when the central bank announces its expected future interest rate,
the yield curve no longer matches the central bank forecast of the
interest rate path.
The ... even reveal the current interest
rate.
24
Another part of the argument is that releasing the expected
interest rate might lock the central bank into setting its interest
rate in the future at forecasted...
41
611
0
Xem thêm