La exigencia de capitales mínimos por riesgo de tasa de interés - Nota técnica
[Capital requirements for interest rate risk - Technical note]
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.
|Date of creation:||01 Feb 2008|
|Date of revision:|
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