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2014 | 4(21) | 25-41
Article title

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

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EN
Abstracts
EN
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.
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25-41
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References
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  • Hull J., 2012, Risk Management and Financial Institutions, Wiley, New York.
  • Kaufman G.G., 1984, Measuring and managing interest rate risk: A primer, “Federal Reserve Bank of Chicago Economic Perspectives”, vol. 8, no. 1, pp. 16-29.
  • Lusignani G., 1996, La gestione dei rischi finanziari nella banca, Il Mulino, Bologna.
Document Type
Publication order reference
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YADDA identifier
bwmeta1.element.desklight-9e63b735-2878-493f-9eba-5c106a1e3457
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