interest rate risk and the repricing gap model

Ngày tải lên: 29/03/2014, 13:20

... portfolios. In other words, the analysis on the one hand has the drawback that noise is not 'averaged out', but on the other hand allows the evaluation of interest rate risk on the micro ... -11.7 * * The mean and standard deviation correspond to the sample values. The numbers in the parentheses stand for the t-ratios. The Sharpe ratio is calculated by diving the sample mean by the sample ... long-term interest rate follows Sweeny and Warga (1986) and Elyasiani and Mansun (1998) whom employ this measure as a proxy for innovations in the interest rate 5 . The change in the interest rate...

Ngày tải lên: 22/03/2014, 17:20

... business model 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 ... bank’s stock return on the market return and an interest rate risk factor, the i nnovation in the holding period return on short- and longer-term risk free bonds. 5 Thus, in the first stage F-J obtained ... running t hough these papers is that they do not concern themselves with the underlying cause(s) of interest rate changes. In particular, the y treat all changes in interest rates in the same way,...

Ngày tải lên: 17/02/2014, 03:20

... Meetings, Interest Rate Decisions, and Surprise Measures The table contains interest rate decisions of the MPC for the period June 1997–October 2007. “Bloomberg Expectation” refers to the interest rate ... indicate whether the interest rate announcement surprised the market according to the respective measure. The variable “IB10” (“IB15”) indicates whether the change in the three-month interbank rate ... takes the value of one on interest rate surprise days between 12:05 and 13:00 if the announced interest rate is higher than expected, and I(Δi<0) is an indicator function that takes the value...

Ngày tải lên: 06/03/2014, 14:20

... questions on the interest rate risk exposure of banks in India. ã What are the interest- rate scenarios which should be the focus of banks and their supervisors, in assessing interest- rate risk? We ... deposits: 7%. ã The interest rate on the liabilities side for borrowings by the bank: 6.58%. ã The interest rate earned on bills purchased by the bank: 10%. ã The PLR of the year: 11%. ã The level ... of higher interest rates, and putting together the losses on the assets side with gains on the liabilities. This approach focuses upon the NPV of assets and the NPV of liabilities, and the impact...

Ngày tải lên: 06/03/2014, 14:20

... components: traded interest rate risk and non-traded interest rate risk. (The latter is often referred to as interest rate risk on the balance sheet or in the banking book.) Both refer to the potential ... time band, ie the difference between assets and liabilities repricing in that time band, thus giving an indication of the ADI’s repricing risk exposure. The direction of the gap indicates whether ... market rates of interest and then summed to determine an overall net present value figure for the ADI. The calculation is then repeated for the assumed changes in market interest rates and the...

Ngày tải lên: 15/03/2014, 01:20

... of the institution. The types of interest rate risk most frequently analysed are repricing risk, yield curve risk, basis risk and optionality. Repricing risk arises from timing differences in the ... review, and for most of them, the impact of an increase in the interest rates will be positive in terms of interest rate risk, both on a net worth level and in terms of the interest margin. Therefore, ... hypothesis on the payment of interest and principal and on the non -interest component of profits and losses. In this sense, the sim- ulation approaches, as they allow changes in the slope and...

Ngày tải lên: 22/03/2014, 17:20

Ngày tải lên: 22/03/2014, 23:20

Ngày tải lên: 29/03/2014, 13:20

Ngày tải lên: 12/07/2014, 10:57

... regression models: the full model (column 2), the model without the regulation variables (column 3) and the model with only the regulation variables (column 4). The R 2 of the full model is 17.24%, ... on the exposure to interest rate risk. Above, we investigated the system- 10 in the systematic component of the exposure to interest rate risk μ(t) or whether the com- position of banks in the ... that banks take the interest rate risk into account when they allocate the budgets to the different sorts of risk and that the risk from term transformation yields approximately the same return...

Ngày tải lên: 16/02/2014, 06:20

Ngày tải lên: 22/03/2014, 23:20

... growth, the rate of appreciation, and the lagged level (and the lagged change) of the repo rate. Below we estimate the model, reporting the parameter estimates, the value of the likelihood function, and ... large. Next we derive the equation estimated below. Let i t denote the repo rate and i T t the Governing Council’s “target” for the repo rate. These may differ because the ECB and most other central banks 3 For ... (1997) presents a simple model in which the target interest rate depends on the state of the economy, as measured by the output gap, and the deviation of inflation from the central bank’s target...

Ngày tải lên: 17/02/2014, 03:20

... investment opportunities. These options give investors the chance to invest based upon their views on the direction of interest rates. What are interest rate options? Interest Rate Options are options on the spot yield ... structure of interest rates and the very nature of the underlying instru- ment itself that investors must take into account to fully understand the behavior of interest rate options and their differences ... antici- pated, then he would be better off having sold the T-bills and having deposited the money in a 11 Interest Rate Movement and Option Premium. Interest Rate Options in many ways are like all other...

Ngày tải lên: 06/03/2014, 14:20

... policies, procedures, and risk limits; and 1 The Asset and Liability Committee oversees the licensee’s operations relating to interest- rate risk, market risk and liquidity risk and, in particular, ... the exposure of earnings and economic value to various forms of interest rate risk, including basis and option risks; iv. the extent of the board and senior management involvement in the risk ... administration of interest rate risk management. Board of Directors’ Responsibilities 6.4. The board has the ultimate responsibility for understanding the nature and the level of interest rate risk...

Ngày tải lên: 15/03/2014, 01:20

... against interest rate changes even if they are un- predictable. The bank’s interest rate risk exposure is zero, and it can be said that they have immu- nized their assets against interest rate risk ... agreement. The opposing balance sheet and interest rate risk exposure of the money center bank and the savings bank provide the necessary conditions for an interest rate swap between the two parties. ... the balance sheet. To compute the maturity gap, the assets and liabilities must be grouped accord- ing to their repricing intervals. Within each category, the gap is then expressed as the rand...

Ngày tải lên: 15/03/2014, 01:20

... when the interest rate reaches this strike rate (interest rate) . If interest rates reach the strike rate during the life of the option transaction, then the borrower will pay the lesser interest ... 03/2008 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 organisation’s ... 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 interest rate risk 4 5. Methods to manage interest...

Ngày tải lên: 15/03/2014, 02:20

... is that the interest rate risk of an adjustable -rate credit line is ‘contingent’, since the firm only faces risk to the extent that it actually draws down the line in the future. Given these differences, ... estimate the quantitative effect of ‘fixed rate versus adjustable rate outcomes on the exposure of small firms to interest rate risk. The point of comparison is the magnitude of interest rate ... and borrowers are potentially exposed to interest rate fluctuations. It therefore seems plausible that the allocation of risk in the loan contract depends in part on the lender’s interest rate...

Ngày tải lên: 15/03/2014, 10:20

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 22/03/2014, 17:20