 Cross-Currency Interest Rate Swap in the Context of the Calculation of Capital Adequacy of Banks with Foreign Currency Mortgages (Cross-currency interest rate swap w kontekscie rachunku adekwatnosci kapitalowej banków posiadajacych walutowe kredyty hipoteczne)Jan Kolesnik ()
Problemy Zarzadzania, 2015, vol. 13, issue 55, 158-169 Abstract: Polish banks have a large long currency position resulting from the portfolio of foreign currency mortgages, which they secure mainly using FX swaps and cross-currency interest rate swaps (CIRS). The purpose of this paper is to show how to take CIRS, which is one of the most popular methods of hedging against risk of CHF mortgages, into account in the calculation of capital adequacy. The paper also tries to answer the question whether the conversion of foreign currency mortgages will lead to changes in the treatment of CIRS in the calculation of capital adequacy of banks. The author points out that the conversion of part or all of the portfolio will eliminate the possibility for CIRS to be counted in the non-trading book and therefore a bank, instead of the capital requirement for credit risk, will have to set capital requirements for counterparty risk and position risk. Keywords: capital adequacy; CIRS; FX mortgages (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sgm:pzwzuw:v:13:i:55:y:2015:p:158-169 Access Statistics for this article More articles in Problemy Zarzadzania from University of Warsaw, Faculty of Management Contact information at EDIRC. |
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