Risco de taxas de juros: inovações na gestão de ativos e passivos de instituições financeiras

Mauro F. Halfeld Alves and José Carlos Moreira

RAE - Revista de Administração de Empresas, 1996, vol. 36, issue 3

Abstract: This paper attempts to broaden the analysis of interest risk management in Brazilian financial institutions. It first discusses the impact of the volatility of interest rates on the profitability of batiks, introducing the concepts of duration and convexity

Date: 1996
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