Repricing Model Essays and Term Papers

  • Repricing about InterestRateRisk

    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 reprice in a given time period Rate-sensitive liabilities: those...

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  • Work

    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 Weaknesses of the Repricing Model • Market Value Effects • Overaggregation ...

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  • Risk Management

    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 interest income using the funding gap model is (-$20m)(0.02) = -$.4m. d....

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  • Testbank

    $68 million. d. Equity decreases to $52 million. e. Equity increases to $78 million. 3. What is the 6 month cumulative repricing gap? a. -$885 million b. +$885 million c. -$285 million d. +$285 million e. -$370 million 4....

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  • Advantage Competitive

    System for Interest Rate Risk D. Community Bank Risk Assessment System for Interest Rate Risk E. Common Interest Rate Risk Models F. In-House versus Vendor Interest Rate Risk Models G. Nonmaturity Deposit Assumptions H. Funds Transfer Pricing References Table of Contents 1 1 2 2 3 4 5 6 8 10 16 17...

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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 focal...

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  • An Analysis of Commercial Bank Exposure to Interest Rate Risk

    estimates of interest rate risk exposure for thrift institutions with those calculated by a more complex model designed by the Office of Thrift Supervision. The results suggest that this relatively simple model can be useful for broadly measuring the interest rate risk exposure of institutions that do not have...

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  • Financial Institutions Study Guide #2

    to price their securities. Interest Rate Risk I: Maturity and Pricing Models: Ch.8,pp.204-218, and Appx 8A Measuring interest rate risk exposure 1. THE REPRICING MODEL, OR FINDING GAP (CHAPTER 8) * Repricing Model: Points out to FI’s net interest income exposure (or profit exposure)...

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  • Test Sheet 1

    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 of assets...

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  • Norwest

    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 market rates, amortization of a portion of principal, expected prepayment of certain assets, and early...

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  • Mckinsey Report July 2012

    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 implementing changes to their product mix and characteristics...

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  • Hr Position Paper

    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 experience,...

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  • Interest Rate Risk

    IN THE BANKING BOOK ........... 24 ANNEX 1 INTEREST RATE RISK MEASUREMENT TECHNIQUES .............................................. 27 A. REPRICING SCHEDULES ................................................................................................... 27 B. SIMULATION APPROACHES .........

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  • Interest Rate Risk Analysis Case Study : Brac Bank

    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. Duration Model 12-15 7. Limitation of Duration model 15 8....

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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 (RSLs) ...

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  • Interest Rate Risk Management at Bank

    earnings or capital arising from movement of interest rates. It arises from 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...

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  • Recfroop

    decision science departments (or teams), although such departments might have a different name. Deploying mathematical, 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...

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  • Gavin

    and how they reacted with financial crisis. In project two, interest rate risk and off-balance-sheet risk exposures will be examined using different models PROJECT 1: PERFORMANCE ANALYSIS CAPITAL RAISING ACTIVITIES Bank of America As a commercial bank, Bank of America raises capital mainly by collecting...

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  • Math2881 Student-Made Revision Questions and Answers

    back-testing and why is it used? Back-testing is the process of comparing actual values with forecasted values. It is used to check the validity of the VaR model being used, as an inaccurate VaR can result in the bank holding too much or too little capital. How is the binomial distribution used in back-testing...

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  • Professional Reasearch

    equal 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 is...

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