The Interest Rate Risk Of Banks
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Interest Rate Risk In The Banking Book
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Author : PAUL. NEWSON
language : en
Publisher:
Release Date : 2017
Interest Rate Risk In The Banking Book written by PAUL. NEWSON and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Banks and banking categories.
The Interest Rate Risk Of Banks
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Author : Max Teichert
language : en
Publisher: BoD – Books on Demand
Release Date : 2018-02-28
The Interest Rate Risk Of Banks written by Max Teichert and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-28 with Business & Economics categories.
This book produces three main results. First, the interest rate risk from on-balance sheet term transformation of banks in Germany exceeds the euro area average and is bound to increase even further. Within Germany, savings banks and cooperative banks are particularly engaged. Second, supervisory interest rate shock scenarios are found to be increasingly detached both from the historic and the forecasted development of interest rates in Germany. This increasingly limits the informative content of mere exposure measures such as the Basel interest rate coefficient when used as risk measures. Third, there is a reasonable theoretical rationale and there is strong empirical evidence for banks' search for yield in interest rate risk, i.e. a negative link between the term spread and the taking of interest rate risk by banks. There is even a threshold of income below which banks' search for yield in interest rate risk surfaces openly.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Interest Rate Risk In The Banking Book
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Author : Beata Lubinska
language : en
Publisher: John Wiley & Sons
Release Date : 2021-11-01
Interest Rate Risk In The Banking Book written by Beata Lubinska and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-11-01 with Business & Economics categories.
Introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations. Interest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding the banking industry for the last couple of years. The importance of IRRBB is shifting for banks, away from ‘just’ a regulatory requirement to having an impact on the overall profitability of a financial institution. Interest Rate Risk in the Banking Book sheds light on the best practices for managing this importance risk category and provides detailed analysis of the hedging strategies, practical examples, and case studies based on the author’s experience. This handbook is rich in practical insights on methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department and is helpful in improving and optimizing their IRRBB framework and strategy. By the end of this IRRBB journey, the reader will be equipped with all the necessary tools to build a proactive and compliant framework within a financial institution. Gain an updated understanding of the evolving regulatory landscape for IRRBB Learn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts • Understand how customer behavior impacts interest rate risk and how to manage the consequences Examine case studies illustrating key IRRBB exposures and their implications Written by London market risk expert Beata Lubinska, Interest Rate Risk in the Banking Book is the authoritative resource on this evolving topic.
The Controlling Of Interest Rate Risk In Banks
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Author : Tatiana Pouzikova
language : en
Publisher: diplom.de
Release Date : 2000-08-07
The Controlling Of Interest Rate Risk In Banks written by Tatiana Pouzikova and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-08-07 with Business & Economics categories.
Inhaltsangabe:Einleitung: Die vorliegende Arbeit widmet sich dem Controlling des Zinsänderungsrisikos in Banken mit Hilfe des VaR-Konzeptes. Zinsänderungen wirken sich in Form des Margen-Risikos, des Reinvestment-Risikos und des Marktwertrisikos aus. Als Instrument zur Risikomessung und -steuerung in Banken wird seit Beginn der 90er Jahre der Value-at-Risk (VaR) propagiert. Der beeindruckende Vorteil des VaR-Konzeptes liegt darin, daß es einen monetären Maßstab bereitstellt, mit dem verschiedenartige Risiken zusammengeführt und vergleichbar gemacht werden. Die gängigen VaR-Modelle werden in dieser Arbeit kurz präsentiert und ihre Annahmen erläutert. Weiterhin werden die Annahmen auf ihre Gültigkeit bei der Modellierung von Zinsänderungsrisiken geprüft. Man möchte nicht nur wissen, ob diese Annahmen erfüllt sind, man möchte auch die Aussagefähigkeit von VaR auf etablierten Märkten und Emerging Markets vergleichen. Um die Performance der VaR-Methoden zu beurteilen, wird in dieser Arbeit ein Backtesting von drei Methoden - Historische Simulation, Monte Carlo Simulation und Methode der Extremwerttheorie - für zwei repräsentative Portfolios durchgeführt. Das erste Portfolio bestand aus einer DM-Bundesanleihe mit 5-jähriger Laufzeit, das zweite war ein Indexportfolio auf der Basis von JP Morgans Emerging Market Bond Index Plus für Rußland. Dabei zeigen sich deutliche Performance-Unterschiede: Während das Zinsänderungsrisiko der deutschen Anleihe relativ gut durch den VaR abgebildet wurde, erwiesen sich alle drei Methoden als unbrauchbar für den russischen Markt. Um die Ursachen für die Performance-Unterschiede auf beiden Märkten aufzuzeigen, werden die Verteilungseigenschaften beider Zeitreihen analysiert. Inhaltsverzeichnis:Table of Contents: 1.Introduction4 2.Identification of risk5 2.1Definition of interest rate risk5 2.2Components of a bank's interest rate exposure6 2.3Determinants of the term structure of interest rates12 3.Application of VaR for measurement of interest rate risk12 3.1VaR-definition13 3.2Methods of VaR- calculation15 3.3Consequences of underlying assumptions for risk estimation17 3.3.1Assumption of normal distribution17 3.3.2 Future like past assumption18 4.Specific problems of the interest rate risk estimation with VaR20 4.1Convexity20 4.2Reduced time to maturity and riding-the-yield-curve-effect22 4.3Compound effects of interest rate, exchange rate and credit risks23 4.4Further problems23 5.Empirical [...]
A Guide To Managing Interest Rate Risk
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Author : Donna M. Howe
language : en
Publisher: Prentice Hall
Release Date : 1992
A Guide To Managing Interest Rate Risk written by Donna M. Howe and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Business & Economics categories.
The Validation Of Risk Models
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Author : S. Scandizzo
language : en
Publisher: Springer
Release Date : 2016-07-01
The Validation Of Risk Models written by S. Scandizzo and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-01 with Business & Economics categories.
This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.
Interest Rate Risk And Banks
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Author : Edward P. M. Gardener
language : en
Publisher:
Release Date : 1987
Interest Rate Risk And Banks written by Edward P. M. Gardener and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Analysis of variance categories.
The Integrated Impact Of Credit And Interest Rate Risk On Banks
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Author : Mathias Drehmann
language : en
Publisher:
Release Date : 2008
The Integrated Impact Of Credit And Interest Rate Risk On Banks written by Mathias Drehmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Credit and interest rate risk in the banking book are the two most important risks faced by commercial banks. In this paper we derive a consistent and general framework to measure the integrated impact of both risks on banks' portfolios. The framework accounts for all sources of credit risk and interest rate risk. By modeling the whole portfolio of a bank and by taking account of the repricing characteristics of all exposures, we can assess the impact of credit and interest rate risk not only on the bank's economic value but also on its future earnings and capital adequacy. We apply our framework to a hypothetical bank in normal and stressed conditions. The simulation highlights that it is fundamental to measure the impact of interest rate and credit risk jointly. We also show that it is crucial to model the whole portfolio, including the repricing and maturity characteristics of assets, liabilities and off balance sheet items.
The Moorad Choudhry Anthology Website
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Author : Moorad Choudhry
language : en
Publisher: John Wiley & Sons
Release Date : 2018-07-18
The Moorad Choudhry Anthology Website written by Moorad Choudhry and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-18 with Business & Economics categories.
The definitive and timeless guide to the principles of banking and finance, addressing and meeting the challenges of competition, strategy, regulation and the digital age. Moorad Choudhry Anthology compiles the best of renowned author Professor Moorad Choudhry's incisive writings on financial markets and bank risk management, together with new material that reflects the legislative changes in the post-crisis world of finance and the impact of digitization and global competition. Covering the developments and principles of banking from the 1950s to today, this unique book outlines the author's recommended best practices in all aspects of bank strategy, governance and risk management, including asset-liability management, liquidity risk management, capital planning, Treasury risk, and corporate framework, and describes a "vision of the future" with respect to a sustainable bank business model. You will gain the insight of a global authority on topics essential to retail, corporate, and investment/wholesale banking, including strategy, risk appetite, funding policies, regulatory requirements, valuation, and much more. The companion website is a goldmine for senior practitioners that provides templates that can applied in virtually any bank, including policy documents, pricing models, committee terms of reference, teaching aids and learning tools including PowerPoint slides and spreadsheet models. These facilitate a deeper understanding of the subject and the requirements of the senior executive, making this book an ideal companion for practitioners, graduate students and professional students alike. The intense demand for knowledge and expertise in asset-liability management, liquidity, and capital management has been driven by the regulatory challenges of Basel III, the European Union’s CRDIV, the Volcker Rule, Dodd-Frank Act, and a myriad of other new regulations. This book meets that need by providing you with a complete background and modern insight on every aspect of bank risk management. Re-engage with timeless principles of finance that apply in every market and which are the drivers of principles of risk management Learn strategic asset liability management practices that suit today's economic environment Adopt new best practices for liquidity models and choosing the appropriate liquidity risk management framework Examine optimum capital and funding model recommendations for corporate, retail, and investment/wholesale banks Dig deeper into derivatives risk management, balance sheet capital management, funding policy, and more Apply best-practice corporate governance frameworks that ensure a perpetual and viable robust balance sheet Adopt strategy formulation principles that reflect the long-term imperative of the banking business In the 21st century more than ever banks need to "re-learn" traditional risk management principles and apply them every day. Every bank in the world needs to be up to speed on these issues, and Anthology from Professor Moorad Choudhry is the answer to this new global policy response.