La exigencia de capitales mínimos por riesgo de tasa de interés - Nota técnica

Capital requirements for interest rate risk - Technical note

Miguel Delfiner () and Angel Del Canto

MPRA Paper from University Library of Munich, Germany

Abstract: Drawing on the use of a very simple hypothetical example this document illustrates how to apply the formulae that determines the capital requirement for interest rate risk. The note starts with a brief explanation on the fundamentals that determine the formulae and the way cash flows are to be assigned to the different time-bands. Next, by means of an a hypothetical balance sheet, the interest rate risk capital requirement is worked out step-by-step. A spreadsheet is attached which includes all calculations.

Keywords: capital; requirement; for; interest; rate; risk (search for similar items in EconPapers)
JEL-codes: G18 (search for similar items in EconPapers)
Date: 2008-02-01
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:15814

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