types of interest rate risks
The effect of interest rate changes on bank stock returns doc
... discount rates This has been explained as arising from sticky interest rates and increasing risks in a competitive US banking market This implies official interest rate changes resulting in higher interest ... of the interest rate sensitivity Stone's work was built on and further enhanced by Lynge and Zumwalt (1980) who found that interest rate sensitivity varied depending on the term of interest rates, ... was consecutive interest rate reduction that followed an extremely volatile and high interest period when interest rates reached record levels and the cash rate was in excess of 17.5 percent...
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REGULATION OF INTEREST RATE BY THE STATE BANK OF VIETNAM (SBV) potx
... Regulation of Interest Rate by the State Bank of Vietnam (SBV) Table of Contents FOREWORD THE ROLES OF INTEREST RATE 1.1 Interest Rate and Consumption/Investment 1.2 Interest ... Intake 13 CFVG, Hanoi, June 2006 Page of 20 International Finance Regulation of Interest Rate by the State Bank of Vietnam (SBV) THE ROLES OF INTEREST RATE Interest Rate is a key economic factors, ... 6.2 Page of 20 International Finance Regulation of Interest Rate by the State Bank of Vietnam (SBV) 1.2 Interest Rate and Inflation Following the quantity theory of money, as the interest rate increases,...
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DETERMINANTS OF INTEREST RATE SPREADS IN BELIZE ppt
... of interest rate spreads and margins vary among authors and offer no consensus on the best measure for interest rate spreads By employing the wide interest margin definition in the analysis of ... Reported Weighted Average Lending Rate Reported Weighted Average Deposit Rate Reported Interest Rate Spread 2006 2007 2008 2009 2010 Interest earned from loans/total loans Interest paid on deposits/total deposits Interest Rate Spread ( Profit & Loss) ... the interest rate spread represents almost two-thirds (63.5%) of the lending rate (i.e 8.9% out of 14.0%) Graph below displays a regional comparison on the interest rate spread to lending rates...
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The Role of Interest Rate Swaps in Corporate Finance doc
... COMPARISON OF INTEREST RATE FUTURES AND INTEREST RATE SWAPS A discussion of the economic role of interest rate swaps would not be complete without at least some mention of interest rate futures Interest ... price of an interest rate swap consists of two different interest rates In the case of a fixed/floating swap, the quoted interest rates involve a fixed and a floating rate The floating interest rate ... mechanics of interest rate swaps and examines these rationales in more detail FUNDAMENTALS OF INTEREST RATE SWAPS The most common type of interest rate swap is the fixed/floating swap in which a fixed-rate...
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Determinants of interest rate exposure of Spanish banking industry potx
... a large portion of their assets with deposits have less interest rate exposure The characterization of the interest rate exposure profile of banks in terms of a reduced group of financial indicators, ... between the market and interest rate risks of various types of Japanese banks and a set of on-balance sheet financial characteristics He concludes that the degree of interest rate exposure is significantly ... extensive body of research, mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates However, the analysis of the sources of bank interest rate risk has...
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Investigation of interest rate derivatives by quantum finance
... the dissertation shows an integrated picture on the subject of applying Quantum Finance to the study of interest rate derivatives Chapter Interest Rate and Interest Rate Derivatives § 1.1 Simple ... study of interest rate In debt market, there is an entire curve of forward interest rates which are imperfect correlated that evolves randomly Baaquie has pioneered the work of modelling forward interest ... vi Interest Rate and Interest Rate Derivatives § 1.1 Simple Fixed Income Instruments § 1.2 Interest Rate § 1.2.1 Convention of Interest...
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The sensitivity of bank stock returns to market, interest and exchange rate risks docx
... joint sensitivity of the rates of return of common stocks of large US banking institutions to interest rate, exchange rate and market risk factors Consideration of exchange rates as a factor ... impact of expected and unexpected interest rate changes on stock returns of different industries, while Flannery and James (1984) have related the interest rate sensitivity of common stocks of financial ... post nominal rate of return on stocks, R=E+SF+t, (1) where R is a vector of the nominal rate of stock returns at time t, E is a vector of expected stock returns at time t, F is a vector of risk factors...
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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks ppt
... or with respect to interest rate versus currency derivatives separately, affect a bank’s interest rate and exchange rate risk profile Comparison of the effect of interest rate versus currency ... bank's interest rate and exchange rate risks Particularly noteworthy is the influence of currency derivatives on exchange rate betas Keywords: Off-balance sheet, Bank risk Derivatives, Interest rate ... The results of this study provide the first formal estimates of the joint effect of derivative exposures on the systematic interest rate and exchange rate risks of U S banks The rest of the paper...
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Metaphor, based on the association of similarity, is one of the two basic types of semantic transference that have been an interest for many linguistic researchers
... basic claims of the cognitive account of metaphor, developed by Lakoff, Johnson and Turner (Lakoff and Johnson 1980, Lakoff 1987, Lakoff and Turner 1989, Lakoff 1993), and elaborated as a more ... analysis procedure 4.1 Results A summary of types of metaphor used in our data is shown in the table blow: Table Types of metaphor in Shakespeare’ sonnets Types of metaphor Sonnets 2i 10 11 12 5i /5ii ... become the focus of vigorous interest in philosophy, as well as in other branches of cognitive science In view of the proliferation of increasingly fruitful exchanges between researches of different...
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Tài liệu The importance of interest rates for forecasting the exchange rate doc
... annual interest rate, we therefore need to multiply the quarterly interest rate by four Hence, if we had used an annual interest rate, the coefficient for the interest rate difference would be ¼ of ... depreciation rate from period t to t+1, it is the domestic interest rate and it* is the foreign interest rate Hence, an interest rate differential at time t, will then lead to an expected depreciation rate ... impulse dummies) The exchange rate model therefore contains three lags of the difference of each of If iq is the quarterly interest rate and ia is the annual interest rate, the relationship between...
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Tài liệu Deregulation of Savings Bank Deposit Interest Rate: A Discussion Paper pptx
... cent The issue of deregulation of savings deposit interest rate has arisen from time to time The Annual Policy Statement of 2002-03 had weighed the option of deregulation of interest rate on savings ... Various Rates Pair of Interest Rates Correlation Coefficient I Weighted Term Deposit Rate and Call Rate 0.82 II Weighted Savings Deposit Rate and Call Rate 0.18 III Weighted Term Deposit Rate and ... arising out of deregulation of savings deposits interest rate is low Further, the experience of deregulation of interest rates on term deposits also suggests that there was some shift of term deposits...
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Tài liệu IMPACT OF BANK COMPETITION ON THE INTEREST RATE PASS-THROUGH IN THE EURO AREA pptx
... Market interest rateAT Market interest rate BE Market interest rate DE Market interest rate ES Market interest rate FR Market interest rate IT Market interest rate NL Market interest rate PT ... Market interest rate AT Market interest rate BE Market interest rate DE Market interest rate ES Market interest rate FR Market interest rateIT Market interest rate NL Market interest rate PT ... Market interest rate AT Market interest rate BE Market interest rate DE Market interest rate ES Market interest rate FR Market interest rate IT Market interest rate NL Market interest rate PT...
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Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx
... states the 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 ... (2009) Determinants of interest rate exposure of Spanish banking industry Working Paper of University of Castilla-La Mancha Czaja, M.-G., H Scholz, and M Wilkens (2010) Interest rate risk rewards ... case especially the shape of the (past and current) term structure of interest rates We call this variable the change in the systematic factor of the exposure to interest rate risk The variables...
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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
... level of interest rates, whereas banks that rely heavily on core deposits exhibit significantly greater sensitivity to both types of interest rate shocks Lastly, a very high intensity of interest rate ... Table 5: Reaction of 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 ... configuration of interest rates are also associated with significantly slower growth of the size of bank balance sheets The slowdown in the growth of bank assets in the wake of rising short-term interest rates...
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Tài liệu The Expected Interest Rate Path: Alignment of Expectations vs. Creative Opacity∗ ppt
... make a large number of assumptions about the likely evolution of exogenous variables One of these is the policy interest rate Most banks used to assume a constant policy interest rate If, however, ... discussion of the shortcomings of central bank forecasts based on the constant interest rate assumption or on market rates to build up the case for using and revealing the policy interest rate path ... Its Interest Rate Forecast We consider now the case when the central bank does not announce its expectation of the future interest rate We call this the opacity case The optimal interest rate...
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An Analysis of Commercial Bank Exposure to Interest Rate Risk doc
... 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 ... level of the rate shock An Analysis of Commercial Bank Exposure to Interest Rate Risk provide an estimate of the net change in the economic value of an institution’s assets, liabilities, and offbalance-sheet ... or more of their total assets This measurement conundrum makes estimates of interest rate risk especially difficult and underscores the lack of precision in any measure of bank interest rate risk...
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RATE OF INTEREST ON ADVANCES pptx
... Base Rate + 8.75% Page of SyndicateBank h) C) D) Rate of Interest on Advances the date of payment (inclusive of overdue interest of 2%) NOTE: Advances are eligible for concessional rate of interest ... rate of interest to be increased by 25 bps over the applicable rate of interest for Housing loans of `75.00 lacs and above RETAIL PRODUCTS (Tenor premium not applicable) Name of the Product Rate ... from the Base Rate + 1.25% date of advance ii) For the period beyond 90 days till the date of payment (inclusive of Base Rate + 8.75% overdue interest of 2%) For entire period of advance if the...
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RATE OF INTEREST ON ADVANCES docx
... (inclusive of overdue interest of 2.00%) PLR+5.00% For delayed period of remittance received in respect of bills under IDBI/SIDBI Bill Re discounting Scheme (including overdue interest of PLR+5.00% ... 3.00 3.00 Page of SyndicateBank Rate of Interest on Advances PLR Advances against third party deposits Inland Bills upto 180 days of less than Rs 50.00 lacs backed PLR by LCs of Scheduled Banks ... SyndNivas Plus Interest Rate PLR minus 4.00% PLR minus 3.50% PLR minus 3.25% PLR minus 3.00% and Interest Rate PLR minus 3.25% PLR minus 2.75% PLR minus 2.50% PLR minus 2.25% Interest Rate PLR minus...
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An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting docx
... participants often employ interest rate derivatives for one of two reasons, either (a) to hedge interest rate risk; or (b) to take a position on the future path of interest rates Numerous varieties of ... relationship may reflect the higher interest rate sensitivity of longer-dated swap transactions One measure of the interest rate sensitivity of a swap is the “dollar value of a basis point” or DV01 The ... an interest rate swap at an agreed upon fixed rate at a specified future date (the exercise date).9 Within product types, OTC interest rate derivatives can be customized to suit the needs of...
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Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc
... for mark-dollar, as well as various interest rate futures, and define their variable of interest as the deviation of the absolute value of exchange or interest rate returns in a given five-minute ... were framed in terms of the repurchase, or repo, rate and after that date in terms of the Bank rate We use the two names interchangeably Vol No Bank of England Interest Rate Announcements 213 ... short-term interest rates, and exchange rates in order to assess the effect of U.S monetary policy shocks on other variables in the SVARs Although the results for interest rates are mixed, the impact of...
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