systematic unsystematic market risk interest rate risk exchange rate risk

Tài liệu INTEREST RATE SWAPS: RISK AND REGULATION pdf

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Tài liệu INTEREST RATE RISK MANAGEMENT AT TENTH DISTRICT BANKS pptx

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Tài liệu ADVISORY ON INTEREST RATE RISK MANAGEMENT doc

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... 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 ... interest rates (instantaneous rate shocks); Substantial changes in rates over time (prolonged rate shocks); Changes in the relationships between key market rates (i.e., basis risk) ; and Basel Committee ... GUIDANCE ON INTEREST RATE RISK Federal Deposit Insurance Corporation, Federal Reserve Board and Office of the Comptroller of the Currency: Interagency Policy Statement on Interest Rate Risk http://www.fdic.gov/news/news/financial/1996/fil9652.pdf...

Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx

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... 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, derived from their own internal models In the previous literature, there are two methods of assessing the banks’ exposure to interest rate risk: (i) One can use stock market ... 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...

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

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... 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 ... transfer of interest rate risk in the derivatives markets To examine the extent to which the reaction of bank stock returns to interest rate shocks is influenced by the usage of interest rate derivatives, ... 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...

An Analysis of Commercial Bank Exposure to Interest Rate Risk doc

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... 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 grown ... of bank risk proﬁles CONCLUSION Interest rate risk does not currently appear to present a major risk to most commercial banks Nevertheless, for individual institutions, interest rate risk must ... resulting market risks through the securities and interest rate contracts they choose to hold The risk proﬁle of the investment securities portfolio can be evaluated by observing changes in the portfolio s...

Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc

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... Sterling-Dollar Exchange Rate. ” Journal of Applied Econometrics (1): 1–13 Vol No Bank of England Interest Rate Announcements 247 Hakkio, C S., and D K Pearce 1985 Exchange Rates and Discount Rate Changes.” ... foreign 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, ... on interest rate surprise days between 12:05 and 13:00 if the announced interest rate is higher than expected, and I(Δi < 0) is an indicator function that takes the value of one on interest rate...

Interest Rate Risk Comptroller’s Handbook pot

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... 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 ... understanding of interest rate risk Business strategy of the bank Any potential sources of interest rate risk that the bank has not adequately identified or included in its interest rate risk management ... Rate Risk Moderate Interest Rate Risk High Responsible officials fully understand all aspects of interest rate risk Responsible officials reasonably understand the key aspects of interest rate risk...

Interest-Rate Risk in the Indian Banking System docx

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... 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, ... their interest rate exposure • Do speculators on the stock market impound information about the interest- rate exposure of a bank in forming stock prices? Can we corroborate measures of interest rate ... 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...

SUPERVISORY AND REGULATORY GUIDELINES: PU42-0408 Interest Rate Risk pot

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... Accurate and timely identification and measurement of interest rate risk are necessary for the effective functioning of an interest rate risk management programme of a licensee Interest rate risk ... Page of 10 Interest Rate Risk The Central Bank of the Bahamas APPENDIX Sources of Interest Rate Risk Repricing (or maturity mismatch) risk is the most obvious source of interest rate risk for a ... OF INTEREST RATE RISK 5.1 Changes in interest rates can have adverse effects on both a licensee’s earnings and economic value Interest rate risk exposure can therefore be assessed from separate...

INTEREST RATE RISK IN THE BANKING BOOK ppt

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... 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, ... range of methods are used by ADIs to determine interest rate risk exposures Smaller banks, for example, tend to use a static net interest income simulation In these cases, interest rate risk is ... approaches to interest rate risk measurement These approaches express an ADI’s interest rate risk exposure in terms of the potential change in the ADI’s economic value given a change in interest rates...

THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx

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... 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 ... an unexpected increase in interest rate risk, if rates rise, it loses money in the cash market By buying interest rate futures or forwards or by engaging in an interest rate swap in which the LRBA ... original portfolio (Schaffer, 1991) 4.6 Other uses, advantages and disadvantages of derivatives Apart from using derivatives for interest rate risk management (hedging against interest rate risk) ,...

STANDARDS OF SOUND BUSINESS PRACTICES - INTEREST RATE RISK MANAGEMENT ppt

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... 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 ... to assume interest rate risk; and explicit and prudent limits on the institution’s rate risk exposure i) Interest Rate Risk Philosophy The capacity of each institution to assume rate risk will ... assets Measurement of Interest Rate Risk Managing interest rate risk requires a clear understanding of the amount at risk and the impact of changes in interest rates on this risk position To make...

Understanding and Managing Interest Rate Risk doc

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... 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 ... and Managing Interest Rate Risk Definition – what is interest rate risk? Interest rate risk should be managed where fluctuations in interest rate impact on the organisation’s profitability In an ... 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...

Interest rate model risk: an overview doc

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... short-term rate, expected instantaneous in¯ation rate Short-term rate, long-term rate Long-term rate, spread between the longterm and short-term rates Short-term rate, in¯ation Short-term rate, spread ... is essential that banks have interest rate risk measurement systems that capture all material sources of interest rate risk and that assess the eect of interest rates changes in ways which are ... of interest rate derivatives Working paper Volume 1/Number Interest rate model risk: an overview Basle Committee on Banking Supervision (1995) Framework for supervisory information about derivatives...

How and Why Do Small Firms Manage Interest Rate Risk? Evidence from Commercial Loans pot

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... 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: ... quantitative effect of ‘fixed rate versus adjustable rate outcomes on the exposure of small firms to interest rate risk The point of comparison is the magnitude of interest rate derivatives hedging by ... fixed rate credit line in fact create a potential arbitrage opportunity, since any change in market rates will affect the wedge between market rates and the rate on the commitment For example if interest...

INTEREST RATE RISK IN THE BANKING BOOK* pdf

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... 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, ... typologies of interest rate risk This gives us more accuracy when isolating the source of this risk on the balance sheet structure of the institution The types of interest rate risk most frequently ... majority of interest rate risk sources can be pinpointed The simplest techniques to measure a bank’s interest rate risk exposure begin with a maturity/repricing schedule that distributes interest- sensitive...

Interest Rate Risk and Bank Common Stock Returns: Evidence from the Greek Banking Sector pot

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... to Market, Interest and Exchange Rate Risks”, Journal of Banking and Finance, 16, 9831004 Choi, J., Elyasiani, E and Saunders, A (1996) “Derivative Exposure and the Interest Rate and Exchange Rate ... determinant of interest rate sensitivity? • Do difference in leverage explain interest rate sensitivity? • Do differences in debt explain interest rate sensitivity heterogeneity? • Is market- to-book ... R (1986) Interest Rate Risk and Equity Values of Hedged and Unhedged Financial Intermediaries”, Journal of Financial Research, 9, 325-329 Stone, B (1974) Systematic Interest- Rate Risk in a...

Interest Rate Volatility and Risk in Indian Banking pptx

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... advise banks to use forward rate agreements and interest rate swaps to hedge interest rate risks, these markets are quite shallow The market for exchange- traded interest rate derivatives has recently ... have incentives to substitute interest rate risk for credit risk (Robinson, 1995) Internationally, banks routinely use interest rate derivatives to hedge interest rate risk In India, while the Reserve ... context of interest rate risk of banks However, duration is a first-order Taylor approximation It is inaccurate when measuring the impact of large interest rate shocks Figure Impact of Interest Rate...

Interest-Rate Risk Management Section 3010.1 pot

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... transactions, including credit risk, concentration risk, interest- rate risk (including prepayment risk) , operational risk, liquidity risk, moral-recourse risk, and funding risk However, since the securitization ... net interest margin are consistent with the interestrate risk profile developed above EVALUATE THE INSTITUTION’S RISK- MEASUREMENT SYSTEMS AND INTEREST- RATE RISK EXPOSURE The institution’s risk- measurement ... 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...

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