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La exigencia de capitales mínimos por riesgo de tasa de interés - Nota técnica
[Capital requirements for interest rate risk - Technical note]

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Author Info

  • Delfiner, Miguel
  • Del Canto, Angel

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.

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File URL: http://mpra.ub.uni-muenchen.de/15814/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15814.

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Date of creation: 01 Feb 2008
Date of revision:
Handle: RePEc:pra:mprapa:15814

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