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:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:15814. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.