Interest rate risk in the baking book
Metadata
Show full item recordcomunitat-uji-handle:10234/158176
comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/97664
comunitat-uji-handle4:
TFG-TFMThis resource is restricted
Metadata
Title
Interest rate risk in the baking bookAuthor (s)
Tutor/Supervisor; University.Department
Cabedo Semper, José David; Universitat Jaume I. Departament de Finances i ComptabilitatDate
2018-06-12Publisher
Universitat Jaume IAbstract
According to Basel Committee on Banking Supervision (2016), structural interest rate risk refers to the alteration of a company’s funding margin and/or asset value due to changes in interest rates. These changes affect ... [+]
According to Basel Committee on Banking Supervision (2016), structural interest rate risk refers to the alteration of a company’s funding margin and/or asset value due to changes in interest rates. These changes affect current value and time profile of cash flows. Besides, a bank’s exposure to adverse movements is a risk tied to banking activities, which, in turn, may become an opportunity to create economic value.
Therefore, structural interest rate risk in the balance sheet must be managed as stated by Basel Supervisory Committee, establishing thus principles for its identification, measurement, monitoring and control. This paper describes the main measurement models: earnings-based and economic value, as well as the standardised approach developed by the committee. Finally, it shows a comparative study of various Spanish banks. [-]
Subject
Description
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs: 2017/2018
Type
info:eu-repo/semantics/bachelorThesisRights
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess