Title:

Review of the static methods used in the measurement of the exposure to the interest rate risk

Title in english:

Przegląd statycznych metod pomiaru ryzyka stopy procentowej

Creator:

Lubińska, Beata

Subject and Keywords:

re-pricing gap analysis ; time bucket sensitivity ; duration gap analysis ; metoda luki niedopasowania aktywów i pasywów ; analiza wrażliwości okresowej ; analiza okresowa

Description:

Nauki o Finansach = Financial Sciences, 2014, Nr 4 (21), s. 25-41

Abstrakt:

Current financial regulation requires banks to have interest rate risk methods in place commensurate with the size and complexity of the bank. The more sophisticated model, the better the prediction of the future Net Interest Income and its sensitivity to the movement of the interest rate curve. The static methods of which an overview is presented in this article, struggle with limitations such as an unchanged interest rate curve, the non-inclusion of items with optionality and many others. The objective of this article is to show how static methods progressed with time, and how some of their limitations presented by a basic Maturity Gap analysis can be addressed in an interesting way. In addition, it also provides the reader with an interpretation of the results of the analysis performed through the aforementioned methods

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2014

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/nof.2014.4.02

Language:

eng

Relation:

Nauki o Finansach = Financial Sciences, 2014, Nr 4 (21)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu