developing and recommending interest rate risk policies for approval by the board of directors
Understanding and Managing Interest Rate Risk doc
Ngày tải lên :
15/03/2014, 02:20
... 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 ... domestic interest rates and foreign rates For example, as Australian interest rates increase relative to offshore rates, then the cost of hedging imports will increase and the cost of hedging ... strike rate which is triggered 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...
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Earnings management and corporate governance in the UK the role of the board of directors and audit committee
Ngày tải lên :
05/10/2015, 19:01
... the board, the separation of the roles of the chairman of the board and the CEO can also affect the independence of the board The role of the chairman is pivotal to securing good corporate governance ... (1993), the function of the chairman of the board is to run board meetings, and to oversee the processes of hiring, firing, evaluating and compensating the CEO Therefore, when the chairman of the board ... GAAP, if they have the CEO simultaneously serving as the chair of the board Thus, the second hypothesis is proposed: Hypothesis 2: The combination of the roles of CEO and the chairman of the board...
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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
Ngày tải lên :
16/02/2014, 06:20
... strands of the literature of the banks’ interest rate risk (See Staikouras (2003) and Staikouras (2006) for a survey) The first one is about the determinants of the banks’ exposure to interest rate ... 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 ... 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 the...
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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
Ngày tải lên :
17/02/2014, 03:20
... specification in Table The effect of each interest rate surprise for the median bank is evaluated at the median of all bank-specific variables; the effect of each interest rate surprise for the median bank ... mechanism(s) behind the size and cross-sectional patterns of the reaction of bank equity values to interest rate shocks by analyzing the effect of interest rates changes on accounting measures of bank profitability ... extent for the direct effect of other economic news on bank stock prices The inclusion of the market return, however, does not imply that the coefficient on the interest rate risk factor captures the...
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SUPERVISORY AND REGULATORY GUIDELINES: PU42-0408 Interest Rate Risk pot
Ngày tải lên :
15/03/2014, 01:20
... 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 exposure ... changes; the exposure of earnings and economic value to various forms of interest rate risk, including basis and option risks; the extent of the board and senior management involvement in the risk ... Bahamas Interest Rate Risk system of interest rate risk limits should set prudent boundaries for the level of interest rate risk exposure for the licensee Limits should be consistent with the licensee’s...
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How and Why Do Small Firms Manage Interest Rate Risk? Evidence from Commercial Loans pot
Ngày tải lên :
15/03/2014, 10:20
... 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 Brueckner, ... HERE] The thick line in the upper panel of the Figure is the volume of fixed rate loans as a fraction of the total sample The thin line is the dollar value of fixed rate loans as a proportion of the ... institutions The second part of the table presents (by source) the proportion of each type of loan for which the interest rate on the loan was fixed, rather than adjustable Number of observations, by lender...
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Real Interest Rate Linkages: Testing for Common Trends and Cycles pptx
Ngày tải lên :
15/03/2014, 14:20
... expected rate of inflation across the maturity of the asset) should move together in the long run.(1) The extent to which they move together in practice may therefore shed some light on either the ... among other European rates, ie is the German rate the single common trend on which the other rates depend in the long run? Additionally, in common with other (1) The simplest theory of how real interest ... correlated The test for the existence of at least s cofeature vectors is 14 therefore a test of the above structural form encompassing the unrestricted reduced form (2) The above system of equations...
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Interest Rate Risk and Bank Common Stock Returns: Evidence from the Greek Banking Sector pot
Ngày tải lên :
22/03/2014, 17:20
... DW stands for the Durbin-Watson statistic The numbers in the parentheses below the point estimates stand for the t-ratios Adj R2 stands for the adjusted coefficient of determination The hypotheses ... -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 ... returns), Ri,t and XRi,t stand for the return and excess return respectively for stock i at time t, and Rf,t stands for the risk- free rate at time t calculated as the holding period return of a One-week...
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Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure pdf
Ngày tải lên :
29/03/2014, 13:20
... between the resulting interest and exchange rate betas and the banks’ interest rate and exchange rate derivatives usage Because the focus of their analysis is on the joint impact of interest and ... that the regression preserves the sign (positive or 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 ... 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 studies have examined the...
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Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc
Ngày tải lên :
29/03/2014, 13:20
... integrate both risks, they look at the integrated impact of credit and interest rate risk on assets only, for example by modelling bond portfolios without assessing the impact of interest and ... data for the month and 10 year interest rates from the beginning of 1992 to July 2007 for US, UK, Germany and the Euro, and five years of observations of annual changes in the interest rates ... converges to the risk- free interest rate Other liabilities pay the riskfree interest rate or in case of sub-ordinate debt, interbank and other liabilities the risk- free interest rate plus a fixed...
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Pricing of convertible bonds with credit risk and stochastic interest rate
Ngày tải lên :
16/10/2015, 12:00
... options The other major approach of the second category is to describe the evolution of the instantaneous rate of interest, the rate that applies over the next short interval of time Short rate ... arguments to set up the return on the portfolio equal to the risk- free rate The risk- free rate is just the spot rate Pricing of convertible bond with credit risk and stochastic interest rate 41 Choose ... coupon rate can be obtained using the year swap rate and the 0.5, and 1.5 year ZC rate) Indeed the calculations can be done using the following formula for the swap rate S T of maturity T and coupon...
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Tài liệu ADVISORY ON INTEREST RATE RISK MANAGEMENT doc
Ngày tải lên :
15/02/2014, 05:20
... 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 ... receiving prior approval from the NCUA does not absolve the board and senior management of their responsibility to fully understand the risks of the derivatives hedging strategy Hedging strategies should ... advisory and the level of capital needed for the level of IRR, the institution’s management and regulators should consider factors, such as the size of the institution, the nature and complexity of...
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An Analysis of Commercial Bank Exposure to Interest Rate Risk doc
Ngày tải lên :
06/03/2014, 02:21
... concentrations Off-balance-sheet instruments, on the other hand, have grown dramatically and are an important part of the management of interest rate risk at certain banks The notional amount of interest rate ... at the midpoints of the time bands To adapt risk weights for seven time bands to four time bands, an average of the two risk weights for the one- to three-year and three- to five-year time bands ... Distribution of interest rate risk exposure of the commercial banking industry calculated with the basic model, December 31, 1994 Comparison of interest rate risk exposures of the thrift and banking...
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Interest Rate Risk Comptroller’s Handbook pot
Ngày tải lên :
06/03/2014, 14:20
... understand the nature and level of interest rate risk being taken by the bank and how that risk fits within the overall business strategies of the Interest Rate Risk Comptroller's Handbook As of ... manage interest rate risk Objective: To evaluate the effectiveness of the bank’s identification of its interest rate risk exposure Assess the bank’s strategies for managing interest rate risk and the ... of the interest rate risk measurement system – Completeness and timeliness of the interest rate risk reports provided to the board and senior management – Effectiveness of the interest rate risk...
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Interest-Rate Risk in the Indian Banking System docx
Ngày tải lên :
06/03/2014, 14:20
... estimate of the impact of the interest- rate shock upon the equity capital of the bank In addition, we seek to measure the interest- rate risk of various banks, as perceived by the stock market When interest ... focuses upon the NPV of assets and the NPV of liabilities, and the impact upon these of a shock to interest rates To the extent that the change in NPV of assets and liabilities is equal, the bank ... follows: • 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...
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INTEREST RATE RISK IN THE BANKING BOOK ppt
Ngày tải lên :
15/03/2014, 01:20
... 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, ... 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 for ... interest rate risks are reported separately to Board level In others, an attempt is made to bring the two different forms of interest rate risk together While reporting of traded and non-traded interest...
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THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx
Ngày tải lên :
15/03/2014, 01:20
... changes in interest rates requires the ability to forecast interest rates better than the rest of the market (Schaffer, 1991) The challenge for banks is thus not only to forecast interest rate risk, ... cash flows of the swap Assume that the realized or actual path of interest rates (LIBOR) over the four-year life of the contract will be: Table The realized path of interest rates End of the year ... flows are generated by the particular interest rate derivative when the interest rates rise If the hedge is perfect, then the losses in the cash market will be offset exactly by the positive cash...
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STANDARDS OF SOUND BUSINESS PRACTICES - INTEREST RATE RISK MANAGEMENT ppt
Ngày tải lên :
15/03/2014, 02:20
... responsible for: developing and recommending interest rate risk policies for approval by the Board of Directors; implementing the interest rate risk management policies; ensuring that interest rate risk ... with developing interest rate risk policies for the board s approval, and developing and implementing procedures to measure, manage and control interest rate risk within these policies A Board of ... managing the risk include the frequency, volatility and direction of rate changes, the slope of the interest rate yield curve, the size of the interest- sensitive position and the basis for repricing...
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