interest rate risk management programme

Ngày tải lên: 15/02/2014, 05:20

... 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 Environment ... 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 board ... Non-maturity Shares and Balance Sheet Risk (03-CU-11) Real Estate Concentrations and Interest Rate Risk Management for Credit Unions with Large Positions in Fixed Rate Mortgages (03-CU-15) http://www.ncua.gov/Resources/LettersCreditUnion.aspx...

Ngày tải lên: 15/02/2014, 05:20

... interest rate risk in accordance with the interest rate risk management programme Although specific interest rate risk management responsibilities will vary from one institution to another, management ... 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 ... year, the interest rate risk management programme; ensure that an internal inspection/audit function reviews interest rate risk operations to ensure that the institution’s interest rate risk management...

Ngày tải lên: 15/03/2014, 02:20

... established for the bank’s interest- rate risk profile To determine if the bank’s interest- rate risk profile is within those limits To evaluate the management of the bank’s interest- rate risk, including the ... institution’s overall interestrate risk exposure Ensure that the method of measuring interestrate risk reflects the complexity of the institution’s interest- rate risk profile Assess the extent management ... to interestrate risk that establish a the risk- management philosophy and objectives regarding interest- rate risk, b clear lines of responsibility, c definition and setting of limits on interestrate...

Ngày tải lên: 29/03/2014, 13:20

... ratio of the bank’s interest rate exposure to the interest rate risk exposure of the bond portfolio, i.e ki (t) = BV Pi (t) BV PS (11) If the same exposure to interest rate risk translates into ... to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation The systematic factor for the exposure to interest rate risk ... short-term interest rates In this paper, we investigate the banks’ exposure to interest rate risk as well as their earnings from term transformation using a dataset on German banks’ exposure to interest...

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 hedge interest rate risk; for this ... their 21 interest rate risk profile Banks may choose so for the purpose of hedging interest rate risk in their loan portfolios or in order to take specific positions on future interest rate movements ... interest rate risk For example, interest rate swaps are typically created so that their market price is equal to zero initially, but they still mitigate the bank’s exposure to interest rate risk...

Ngày tải lên: 17/02/2014, 03:20

... important part of the management of interest rate risk at certain banks The notional amount of interest rate contracts—such as interest rate options, swaps, futures, and forward rate agreements—has ... Exposure to Interest Rate Risk value changes To measure interest rate risk, the model estimates fair values under prevailing interest rates (base case) and at alternatively higher and lower rate levels, ... the industry’s management of interest rate risk Specifically, competition may be reducing the banking industry’s ability to manage interest rate risk through discretionary pricing of rates on loans...

Ngày tải lên: 06/03/2014, 02:21

... Structures for Managing Interest Rate Risk Evaluation of Interest Rate Exposures Supervisory Review of Interest Rate Risk Management Risk Identification Risk Measurement Risk Monitoring Risk Control 1 ... 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 ... Evaluation of Interest Rate Exposures Management decisions concerning a bank’s interest rate risk exposure should take into account the risk/ reward tradeoff of interest rate risk positions Management...

Ngày tải lên: 06/03/2014, 14:20

... routinely use interest rate derivatives to hedge away interest rate risk In India, while RBI guidelines advise banks to use Forward Rate Agreements and Interest Rate Swaps to hedge interest rate risks, ... buy long dated assets, without bearing interest rate risk Interest rate risk measurement in banking can be done by simulating a scenario of higher interest rates, and putting together the losses ... • 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 earned...

Ngày tải lên: 06/03/2014, 14:20

... 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 management ... Bahamas x Interest Rate Risk re-evaluate significant interest rate risk management policies, procedures and risk limits at least annually Senior Management s Responsibilities 6.6 Senior management ... interest rate risk exposures in the Interest Rate Sensitivity form END BANK SUPERVISION DEPARTMENT Page of 10 Interest Rate Risk The Central Bank of the Bahamas APPENDIX Sources of Interest Rate...

Ngày tải lên: 15/03/2014, 01:20

... Board and senior management in overseeing interest rate risk management; the need for clearly defined risk management policies and procedures that capture all sources of interest rate risk and ensure ... typically able to incorporate a wider range of interest rate risk sources and can therefore provide a better measure of interest rate risk exposure One such source of interest rate risk is ‘embedded ... 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 of a sound framework for managing interest rate risk, ...

Ngày tải lên: 15/03/2014, 01:20

... make interest rate risk management more effective Using derivatives can thus be considered as a part of any bank’s interest rate risk management strategy and also its total risk management strategy ... in interest rates (Sinkey 2002) Interest rate swaps can thus reduce interest rate risk either by converting a fixed -rate income stream to a variable -rate stream or by converting a variable -rate ... against interest rate changes even if they are unpredictable The bank’s interest rate risk exposure is zero, and it can be said that they have immunized their assets against interest rate risk (Saunders...

Ngày tải lên: 15/03/2014, 01:20

... is interest rate risk?  Sources of interest rate risk 3 Impact of adverse movements in interest rates on organisations 4 Methods to measure interest rate risk Methods to manage interest rate ... interest rates to fall • Outright interest rate risk – the impact of a change in the overall level of interest rate risk For example, if an investor holds a fixed interest bond and interest rates ... discount rate (interest rate) on the value of financial instruments, hedges and the return on projects Sources of interest rate risk Interest rate risk can arise from a number of sources: • where interest...

Ngày tải lên: 15/03/2014, 02:20

... of fixed -rate commercial loans are consistent with recent evidence on “debt market timing.” Key words: fixed -rate loan, adjustable -rate loan, corporate risk management, interest rate risk Vickery: ... contract design and bank risk management suggest that the share of interest rate risk in a loan borne by the borrower should depend in part on the lender’s interest rate risk profile (Arvan and ... sensitive to interest rates and other external shocks, empirical work on corporate risk management has focused instead on large public companies This paper studies fixed -rate and adjustable -rate loans...

Ngày tải lên: 15/03/2014, 10:20

... the interest rate Interest rate (7) For higher interest rate changes, the concept of convexity can be used This is based on the second derivative of the asset value function to the interest rate, ... in the supervision of interest rate risk management, 2) the need to clearly define policies and management procedures that allow for the gathering of all interest rate risk sources and that ensure ... can be used to generate simple indicators of the interest rate risk sensitivity of both earnings and economic value When this approach is used to assess the interest rate risk in current earnings,...

Ngày tải lên: 22/03/2014, 17:20

... in the long-term interest rate? • Then, if indeed the sensitivity is significant, is there a negative relationship between stock returns and interest rate changes? • Is interest rate sensitivity ... (betas) and the risk premia (alphas) In this context one is testing whether stock returns are sensitive to interest rate changes (significance of βI) and also whether interest rate risk is priced ... same period The long-term interest rate chosen was the 10-year swap rate As a proxy for the risk- free rate (in order to calculate excess returns) the One-week Interbank rate was chosen Finally,...

Ngày tải lên: 22/03/2014, 17:20

... negative) of the interest rate betas The sign of the interest rate beta provides an indication of the direction of a BHC’s interest rate risk exposure In measuring the extent of interest rate risk, however, ... and banks’ interest rate risk exposure The market-model approach to interest rate risk measurement provides a way to assess the relationship between derivatives and interest rate risk exposure ... term designed to capture interest rate changes The coefficient on the interest rate term (the interest rate “beta”) can be interpreted as a measure of interest rate risk exposure Most of these...

Ngày tải lên: 29/03/2014, 13:20

... Flow Risk- free rate +15bps Risk- free rate minus variable negative spread34 Risk- free rate Risk- free rate minus variable negative spread35 Risk- free rate Risk- free rate +15bps Risk- free rate +15bps ... drops (rather than increases) in the interest rate, which is good news for integrated risk management, as low interest rates imply low credit risk Therefore, integrated economic capital could be lower ... Flow Risk- free rate +15bps Coupon from net interest income model +50bps Coupon from net interest income model +50bps Risk- free rate Coupon from net interest income model +50bps Risk- free rate...

Ngày tải lên: 29/03/2014, 13:20

... THEORY OF INTEREST RATE RISK AND INTEREST RATE RISK MEASUREMENT 2.1 Background 2.2 Risks assumed by banks 2.2.1 Credit risk 2.2.2 Interest rate risk 2.2.3 Operational risk 2.2.4 Liquidity risk 2.2.5 ... Price risk vi 2.2.6 Compliance risk 2.2.7 Foreign Exchange risk 2.2.8 Strategic risk 10 2.2.9 Reputation risk 10 2.3 Interest rate risk 10 2.4 The model of measuring the interest rate risk 12 ... rise interest rate will decrease the value of the Table 1: Exposure to interest rate Rate Changes of rate Lender Borrower Existing exposure Floating rate + - Rate - + Rate - + Rate Fixed Rate Rate...

Ngày tải lên: 26/05/2015, 08:34

Ngày tải lên: 15/02/2014, 05:20