Banking and the Management of Financial Institutions - Managing Interest-Rate Risk
4 important questions on Banking and the Management of Financial Institutions - Managing Interest-Rate Risk
What happens when a bank has more rate-sensitive liabilities than assets?
What is the formula of basic gap analysis?
How to you refine the basic gap analysis?
• Maturity bucked approach:
Measures the gap for several maturity subintervals (buckets) to calculate the effects of interest-rate changes can be calculated over a multiyear period
• Standardised gap analysis:
Accounts for different degrees of rate sensitivity among rate-sensitive assets and liabilities.
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What is the duration analysis?
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