• Repricing about InterestRateRisk
    Committee (ALCO) The ALCO’s primary responsibility is interest rate risk management. The ALCO coordinates the bank’s strategies to achieve the optimal risk/reward trade-off. Repricing Model Rate sensitivity means time to repricing Rate-sensitive assets: those assets that will mature or...
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  • Work
    Chapter Eight Interest Rate Risk I Chapter Outline Introduction The Central Bank and Interest Rate Risk The Repricing Model • Rate-Sensitive Assets • Rate-Sensitive Liabilities • Equal Changes in Rates on RSAs and RSLs • Unequal Changes in Rates on RSAs and RSLs...
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  • Risk Management
    (0.07) - 70(0.08) - 20(.07) = $9.5m - $7.0m = $2.5m, a decline of $0.4m. c. Using the cumulative repricing gap model, what is the expected net interest income for a 2 percent increase in interest rates? Wachovia’s' repricing or funding gap is $50m - $70m = -$20m. The change in net...
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  • Testbank
    repricing gap is accurate, although they both include runoffs. e.The repricing model measures the impact of unanticipated changes in interest rates on equity values. 43.What is the duration of the US Treasury bills? a.0.25 years b.1 year c.2...
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  • Advantage Competitive
    about future interest rates, maturities and repricings of existing positions, and new business assumptions. Mark-to-market gains or losses on trading or dealing positions (i.e., price risk). This calculation is often performed in a separate market valuation model or subsystem of the interest rate risk...
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  • Test Sheet 1
    0 1 2 0 1 Assets We will discuss interest rate risk using three models. 1. The Maturity Model 1. The Duration Model 1. The Repricing Model I. The Maturity Model A. Valuing a Bond The effect of interest rate changes on the values...
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  • Norwest Corporation
    What difficulties do you suppose Norwest faces in creating a reliable “market value model”? The goal of the asset and liability management process is to manage the structure of the balance sheet in order to provide the maximum acceptable levels of interest sensitivity risk and liquidity. The...
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  • Financial Institutions Study Guide #2
    exposure 1. THE REPRICING MODEL, OR FINDING GAP (CHAPTER 8) * Repricing Model: Points out to FI’s net interest income exposure (or profit exposure) to interest rate changes in different maturity buckets. * GAP model: based on book value * Rate Sensitive Assets and Liabilities: A...
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  • An Analysis of Commercial Bank Exposure to Interest Rate Risk
    exposing future earnings to greater risk. Several techniques are used to measure the exposure of earnings and economic value to changes in interest rates. They range in complexity from those that rely on simple maturity and repricing tables to sophisticated, dynamic simulation models that are capable of...
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  • Interest Rate Risk Analysis Case Study : Brac Bank
    Table of Content 1. Executive summary iv 2. Introduction 2 3. Repricing Model 2 I) Refunding or funding gap 3 II) Advantage/Disadvantage 4-5 4. Maturity Model 6-10 5. Weakness of maturity model 11 6...
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  • Mckinsey Report July 2012
    new regulatory forces on their ROE levels. The first is “Technical Mitigation”, which essentially involves improving efficiency of capital and funding. Secondly, “Capital - and funding-light operating models” seek to further improve funding efficiency and reduce risk-weighted assets (RWAs) by...
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  • Hr Position Paper
    customer information to derive insights, and implementing theinsights into the customer-facing operations of the organization. The Customer Intelligence Maturity Model The commoditization of products and offerings has placed an increased emphasis on service as a leading differentiator for the customer...
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  • Norwest
    Answers to Case Study – Norwest Corporation Q1. Discuss limitations in the reliability of the interest rate-sensitivity gap. As implied in the case, the methodology is to classify assets and liabilities in terms of the time to certain repricing events (maturity, adjustment upon a change in...
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  • Interest Rate Risk
    OF INTEREST RATE RISK IN THE BANKING BOOK ........... 24 ANNEX 1 INTEREST RATE RISK MEASUREMENT TECHNIQUES .............................................. 27 A. REPRICING SCHEDULES ................................................................................................... 27 B...
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  • Recfroop
    , statistical, or other quantitative models in retail banks to support decision-making is not new. Best known applications are credit scorecards, which are now commonly used for differentiating customers’ credit risks and for determining bank’s lending decisions. It is widely recognized that credit risk...
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  • Repricing Model
    Interest Rate Risk Management • The Repricing Model A simple balance sheet has been classified for a 6 month maturity bucket below: Assets Rate Sensitive Assets (RSAs) Fixed Rate Assets (FRAs) Nonearning Assets (NEAs) Total $100 $200 Liabilities Rate Sensitive Liabilities...
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  • Interest Rate Risk Management at Bank
    differences between the timing of rate changes and the timing of cash flows (repricing risk); from changing rate relationships among yield curves that affect bank activities (basis risk); from changing rate relationships across the spectrum of maturities(yield curve risk); and from interest-rate...
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  • Gavin
    for which the potential change in rates will reduce a bank’s earnings and value. This article evaluates and analyses the extent of interest rate risk that the Bank of America and Goldman Sachs are exposed to by applying maturity model, duration model and repricing model to compare and contrast the...
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  • Epci Performance 2002-2005
    measuring credit risk for every exposure in a consistent manner as accurately as possible and use the risk information for business and financial decision making. The Group adopted the Bankers' Association of the Philippines model which has been approved by the BSP as a minimum standard for an internal risk...
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  • Professional Reasearch
    to the underlying value of the stock for full-value awards such as restricted stock and performance shares, and estimated using an option-pricing model with traditional inputs for appreciation awards such as stock options and stock appreciation rights. Compensation cost equal to these fair values...
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