In this module, we analyze the impact of interest rate shifts on a financial institution’s net interest income and net worth. In contrast to the value-at-risk techniques that focus on the institution’s trading portfolio, we concentrate here on the so-called accrual or banking book, in which the institution books primarily positions that it intends to hold to maturity. We examine in successive chapters alternative techniques based on the so-called repricing model and the duration model, and conclude by describing the guidelines of the Basle Committee for the measurement and management of this risk.
target audience:DX1 Traders, risk managers, sales force, financial control and audit
prerequisite required:
– Bond Fundamentals
– Interest Rate Forwards & Swaps
– Interest Rate Options
prerequisite recommended:
– Value at Risk
Please click below pictures to explore the chapters:
