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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]

Author

Listed:
  • 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.

Suggested Citation

  • Delfiner, Miguel & Del Canto, Angel, 2008. "La exigencia de capitales mínimos por riesgo de tasa de interés - Nota técnica [Capital requirements for interest rate risk - Technical note]," MPRA Paper 15814, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:15814
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    File URL: https://mpra.ub.uni-muenchen.de/15814/1/MPRA_paper_15814.pdf
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    More about this item

    Keywords

    capital requirement for interest rate risk;

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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