INTEREST RATE RISK QUANTIFICATION MODELS

Ana-Cornelia Puiu and Alina Nicoleta Radu
Additional contact information
Ana-Cornelia Puiu: Academy of Economic Studies, Bucharest
Alina Nicoleta Radu: Academy of Economic Studies, Bucharest

Theoretical and Applied Economics, 2008, vol. 11(528)(supplement), issue 11(528)(supplement), 285-292

Abstract: The acceptance and management of financial risk is inherent to the business of banking and banks’ roles as financial intermediaries. To meet the demands of their customers and communities and to execute business strategies, banks make loans, purchase securities, and take deposits with different maturities and interest rates. These activities may leave a bank’s earnings and capital exposed to movements in interest rates. This exposure is interest rate risk. Changes in banks’ competitive environment, products and services have heightened the importance of prudent interest rate risk management.

Keywords: maturity gap; duration gap; immunization; asset sensitive; liability sensitive. (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.asociatiaeconomistilor.ro/documente/Conferinta_FABBV_engleza.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:11(528)(supplement):y:2008:i:11(528)(supplement):p:285-292

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Mircea Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania / Editura Economica Contact information at EDIRC.
Bibliographic data for series maintained by Mircea Dinu ().