Interest rate risk
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Interest rate risk measuring performance, creating solutions. by William J. McGuire

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Published by Financial Managers Society in Chicago, IL (230 West Monroe, Suite 2205, Chicago 60606) .
Written in English

Subjects:

  • Interest rate risk.

Book details:

Edition Notes

Statementby William J. McGuire.
Classifications
LC ClassificationsHG1621 .M25 1997
The Physical Object
Paginationv, 33 p. :
Number of Pages33
ID Numbers
Open LibraryOL437308M
LC Control Number98147037

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This booklet provides an overview of interest rate risk (comprising repricing risk, basis risk, yield curve risk, and options risk) and discusses IRR management practices. Applicability. This booklet applies to the OCC's supervision of national banks and federal savings associations. Interest rate risk in the banking book is the risk posed by adverse movements in interest rates that cause a mismatch between the rates banks set on customer loans and on deposits. For example, if rates were to increase and a bank’s deposits repriced sooner than its loans, it could result in the bank paying out more interest on deposits than the interest it is receiving from loans. Interest Rate Risk in the Banking Book (IRRBB) IRRBB Overview Interest rate risk in the Banking Book (IRRBB) is the risk to earnings or capital arising from movement of interest rates. It generally arises from Repricing risk, risks related to the timing mismatch in the maturity and repricing of . The analytical VaR for interest rate risk in the banking book can be calculated as follows: It is important to note the advantage of using independent principal components: the value losses due to the first scenario (the level change of the interest rate) can be processed with the value losses for the second and third scenarios.

Interest rate risk in banking book (IRRBB) refers to the current or prospective risk to a bank’s capital and earnings arising from adverse movements in interest rates that affect banking book positions. Nov 28,  · With the interest rate risk of the banking book, the Basel Committee on Banking Supervision (BCBS) 1 aims primarily to address the potential loss of economic value of institutions from a change in the interest rates called IRR and Credit Spread Risk (CSR) in the banking book 2. Apr 21,  · The Basel Committee on Banking Supervision has today issued standards for Interest Rate Risk in the Banking Book (IRRBB). The standards revise the Committee's Principles for the management and supervision of interest rate risk, which set out supervisory expectations for banks' identification, measurement, monitoring and control of IRRBB as well as its supervision. standards on “Interest rate risk in the banking book”3 (IRRBB). These standards are intended to replace an earlier guidance set out in the “Principles for the management and supervision of interest rate risk”4, which laid out the principles and the methods expected to be used by banks for measuring, managing, monitoring and.

The interest rate risk in banking book refers to the risk to a bank’s capital and earnings arising from adverse movements in interest rates that affect banking book positions. Any changes in interest rates have an impact on the present value of future cash flows on the bank. Interest Rate Risk In The Banking Book – How to manage IRRBB considering the Monetary Policy and the new regulation? 15/12/ By Ziad FARES Supported by Victor Bart Global Research & Analytics 1 1 This work was supported by the Global Research & Analytics Dept. of Chappuis Halder & Cie. Interest Rate Risk in the Banking Book (IRRBB) is the risk to earnings or value (and in turn to capital) arising from movements of interest rates that affect banking book positions. Interest Rate Risk in the Banking Book The course will be taught in a classroom based format with a variety of professionals from the industry including, the Federal Reserve Bank, US .