the concept of the interest rate risk

Measure the interest rate risk Acase study of Vietcombank Luận văn thạc sĩ

Measure the interest rate risk Acase study of Vietcombank Luận văn thạc sĩ

Ngày tải lên : 26/05/2015, 08:34
... rise interest rate will decrease the value of the Table 1: Exposure to interest rate Rate Changes of rate Lender Borrower Existing exposure Floating rate + - Rate - + Rate - + Rate Fixed Rate Rate ... to interest rate risk Interest rate risk measurement aims to quantify the interest rate risk profile of a exposure is necessary to ensure proficient risk management There are several models of ... further aid the Vietcombank in its management interest rate risk 1.3 OBJECTIVES AND GOALS OF THE RESEARCH The objective of this thesis is to -4- To investigate the movement of the interest rate...
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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

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 risk, ... 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 ... (which explains the multiplication with Ei (t) and the division by 130) The variable ki (t) states the ratio of the bank’s interest rate exposure to the interest rate risk exposure of the bond portfolio,...
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THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx

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

Ngày tải lên : 15/03/2014, 01:20
... 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 ... that of the mortgages The proceeds of the sales of the notes can be used to pay of the CDs and reduce the duration gap Alternatively the thrift can buy a swap and take the fixed payment side of ... in interest rates on the balance sheet is assumed to be equal to the change in the interest rate on the bond underlying the option contract The introduction of basis risk means that the bank must...
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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks ppt

Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks ppt

Ngày tải lên : 29/03/2014, 13:20
... these risks 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 ... significant exchange rate risk betas than interest rate risk betas, the interest rate risk betas that are significant are all negative, while the signs of the significant exchange rate risk betas are ... over the risk- free rate, rt is the interest rate risk factor measured by the percentage rate of changes in risk- free rate, i.e., (q t-qt-1)/q t-l when q is three-month U.S Treasury bill rate, ...
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Tài liệu IMPACT OF BANK COMPETITION ON THE INTEREST RATE PASS-THROUGH IN THE EURO AREA pptx

Tài liệu IMPACT OF BANK COMPETITION ON THE INTEREST RATE PASS-THROUGH IN THE EURO AREA pptx

Ngày tải lên : 15/02/2014, 05:20
... 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 ... 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* Boone ind...
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Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc

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

Ngày tải lên : 06/03/2014, 14:20
... (1) where Δet is the change in the logarithm of the exchange rate at time t The mean of the exchange rate returns process, μ, the autocorrelation coefficient, ρ, and the variance of the innovation, ... 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 ... 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 period on day j from the average...
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Interest Rate Options - A discussion of how investors can help control interest rate exposure and make the most of the interest rate market pdf

Interest Rate Options - A discussion of how investors can help control interest rate exposure and make the most of the interest rate market pdf

Ngày tải lên : 06/03/2014, 14:20
... on their outlook on these rates Risk Interest rate moves can adversely affect the value of their investments With CBOE Interest Rate Options, an investor has a tool to help control interest rate ... purchase of FVX put options would allow the holder to profit if rates decline because as 5-year interest rates fall, so does the level of FVX As interest rates decline and the level of the 5-year ... regarding the structure of interest rates and the very nature of the underlying instrument itself that investors must take into account to fully understand the behavior of interest rate options and their...
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Interest-Rate Risk in the Indian Banking System docx

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 ... substantial model risk The BIS proposals advocate the use of an ad-hoc 200 bps shock, in the absence of the data-driven procedure which yields the magnitude of the shock of interest to the risk manager ... questions on the interest rate risk exposure of banks in India • What are the interest- rate scenarios which should be the focus of banks and their supervisors, in assessing interest- rate risk? We...
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INTEREST RATE RISK IN THE BANKING BOOK ppt

INTEREST RATE RISK IN THE BANKING BOOK ppt

Ngày tải lên : 15/03/2014, 01:20
... incorporate a wider range of interest rate risk sources and can therefore provide a better measure of interest rate risk exposure One such source of interest rate risk is ‘embedded optionality’, often ... 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, ... changing interest rates The techniques also vary in terms of their ability to capture the different forms of interest rate risk The simplest techniques primarily only capture repricing risk This is the...
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WORKING PAPER NO. 40 FINANCIAL STRUCTURE AND THE INTEREST RATE CHANNEL OF ECB MONETARY POLICY pptx

WORKING PAPER NO. 40 FINANCIAL STRUCTURE AND THE INTEREST RATE CHANNEL OF ECB MONETARY POLICY pptx

Ngày tải lên : 15/03/2014, 14:20
... on the share of variable interest rate contracts, the frequency of the interest rate variations defined in the contract and the correlation of the MMR with the reference interest rate used in the ... computation of the present value is, again, the long-term interest rate The lower the level of long-term interest rates, the higher the impact of a change in the long-term rate on the underlying value of ... approximation, the variation in the value of a bonds portfolio can be taken as the response of the value of a bond with the average maturity of the portfolio For instance, if the average maturity of the...
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Methods of Policy Accommodation at the Interest-Rate Lower Bound  ppt

Methods of Policy Accommodation at the Interest-Rate Lower Bound  ppt

Ngày tải lên : 15/03/2014, 14:20
... expectations of the future path of the funds rate, as illustrated for example by OIS rates As I discuss further in the next section, these statements by the FOMC have had less of the character of an ... following the return of the natural rate of interest to its normal level has a dramatic effect on the severity of both the economic contraction and the deflation that occur during the period of the negative ... federal funds rate, as indicated by the response of OIS rates at the time of the release The “cleanest” tests of the effects of forward guidance were the last two instances; not only did these statements...
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INTEREST RATE RISK IN THE BANKING BOOK* pdf

INTEREST RATE RISK IN THE BANKING BOOK* pdf

Ngày tải lên : 22/03/2014, 17:20
... and for most of them, the impact of an increase in the interest rates will be positive in terms of interest rate risk, both on a net worth level and in terms of the interest margin Therefore, Portuguese ... sources As with other approaches, the usefulness of dynamic simulation as a measure of interest rate risk depends on the validity of the underlying hypothesis and the accuracy of the basic methodology ... Relation between the value of a financial instrument Value and the interest rate Interest rate (7) For higher interest rate changes, the concept of convexity can be used This is based on the second...
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Interest Rate Risk and Bank Common Stock Returns: Evidence from the Greek Banking Sector pot

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

Ngày tải lên : 22/03/2014, 17:20
... determinants of this differential interest rate sensitivity 5.3 The determinants of cross-sectional variation of interest- rate sensitivity Given the rejection of the uniformity hypothesis an interesting ... portfolios In other words, the analysis on the one hand has the drawback that noise is not 'averaged out', but on the other hand allows the evaluation of interest rate risk on the micro level ... period The long-term interest rate chosen was the 10-year swap rate As a proxy for the risk- free rate (in order to calculate excess returns) the One-week Interbank rate was chosen Finally, a set of...
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Forecast uncertainty and the Bank of England interest rate decisions ppt

Forecast uncertainty and the Bank of England interest rate decisions ppt

Ngày tải lên : 22/03/2014, 23:20
... collected from the interest rate voting spreadsheet published on the Bank of England website They refer to the decision of the MPC about the level of the key interest rate, the Official Bank Rate, from ... of a reasonable significance level Despite variations of the responses across the conditional distribution of both the MPC interest rate decisions and the member interest rate average, these interest ... might affect the interest rate decisions, they should be incorporated into the estimation model This study therefore focuses on the impact of forecast uncertainty on the strength of the relationship...
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Determinants of the interest rate pass-through of banks − evidence from German loan products pptx

Determinants of the interest rate pass-through of banks − evidence from German loan products pptx

Ngày tải lên : 29/03/2014, 13:20
... parts of the European banking market The next section describes how we estimate the characteristics of the interest rate- setting behavior, primarily the markup of loan rates above a market rate ... presents OLS estimates of the determinants of the loan interest rate markup and the adjustment speed The dependent variable of models (1)-(2) is the loan markup The dependent variable of models (3)-(4) ... factors in the subsequent analysis The results of IPT models will be bank- and product-specific loan markups (i.e., the spread above the market interest rate) , the speed of interest rate adjustment...
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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

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
... 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 ... looking at the lower tail of the net profit distribution without any spreads provides a conservative assessment of the actual risk profile of the bank 4.5 Pricing of liabilities In theory, the bank’s ... credit risk assessment for the banking and trading book Here a similar argument is often made that the risk measure of the total portfolio, i.e the whole bank, is less than the sum of the risk...
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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

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
... measured by the four-quarter difference of the log of the GDP price deflator; the fourquarter difference of the log of CoreLogic house price index; the four-quarter difference of the log of the S&P 500 ... describing the measurement of the two interest rate surprises used in the analysis the “level” and “slope” surprises Our baseline regressions provide us with the estimate of the average effect of these ... alter 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...
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An Analysis of Commercial Bank Exposure to Interest Rate Risk doc

An Analysis of Commercial Bank Exposure to Interest Rate Risk doc

Ngày tải lên : 06/03/2014, 02:21
... 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 contracts—such as interest rate ... regarding the sensitivity of their fair value to interest rate movements The notional amount of an interest rate contract is the face amount to which the rates or indexes that have been specified in the ... 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 THE...
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The Interest Rate Conditioning Assumption∗ potx

The Interest Rate Conditioning Assumption∗ potx

Ngày tải lên : 06/03/2014, 02:21
... notes: Another problem with the current procedure of the Bank of England is that it is unclear how the MPC is intended to determine the correct current repo rate in the event that the interestrate ... Official Rates Caught between the lack of credibility (at least on some occasions) of a constant rate assumption and the problems of adopting an MPC chosen time path for interest rates, the move by the ... informative, but there are offsetting problems These problems include how to reach agreement in a committee of equals and whether the perception by the private sector of the extent of commitment of the MPC...
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What Was the Interest Rate Then? A Data Study pot

What Was the Interest Rate Then? A Data Study pot

Ngày tải lên : 06/03/2014, 14:20
... money-market rates (examples: Bank Rate of the Bank of England, discount rates of the Federal Reserve banks, federal-funds target rate of the Fed) These rates have a profound effect on the market rates of ... description of the development of the interest- rate series in What Was the Interest Rate Then? The objective of the project was to generate interest- rate series for the United States and United ... country, it is redone for the other country Then (1)-(3) are repeated for the subsequent interest rate (1) Interest Rate: The ordering of presentation of the three interest rates is: (a) short-term,...
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