SlideShare a Scribd company logo

Interest Rate Risk And Management

•Download as PPT, PDF•
•
C
catelong

Interest rate risk management for banks under Basel II, presentation by Christine Brown, Department of Finance , The University of Melbourne, Shanghai, December 8-12, 2008

Economy & FinanceBusiness
1 of 19
Interest Rate Risk Management Christine Brown Associate Professor Department of Finance The University of Melbourne
Plan ,[object Object],[object Object],[object Object],[object Object],[object Object]
What is Interest Rate Risk? ,[object Object],[object Object],[object Object],[object Object],[object Object]
Where does IRR come from? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Regulation ,[object Object],[object Object],[object Object],[object Object]
Principles for Interest rate Risk Management ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Techniques for Interest Rate Risk Measurement ,[object Object],IRR measurement Earnings Economic value Dollar gap or Maturity gap Duration gap Simulation Static simulation
Simple calculations of IRR ,[object Object],[object Object],[object Object],[object Object],[object Object]
Simple approaches - Gap ,[object Object],[object Object],[object Object]
[object Object],Traditional Gap analysis ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Example (months) Reset date 0-3 3-6 6-12 12-24 24+ Assets 80 0 0 70 0 Liabilities 20 130 0 0 0 Gap +60 -130 0 +70 0 Cumulative Gap +60 -70 -70 0 0
[object Object],[object Object],Interpreting the Gap interest income interest expenses time rate change
Problems with Gap Analysis ,[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],Gapping and equity value
Duration based approach ,[object Object],[object Object],[object Object]
Duration - A Graphic Depiction time 0 asset cash flows present value of cash flows 1 2 3 4 5 6 Duration
Duration and Bond Price Sensitivity ,[object Object],[object Object],[object Object],[object Object],[object Object]
Simulation approaches ,[object Object],[object Object],[object Object],[object Object],[object Object]
Conclusions ,[object Object],[object Object],[object Object]

Recommended

Management of interest rate risk
Management of interest rate riskManagement of interest rate risk
Management of interest rate risk
Sonam Basia
 
Liquidity Risk
Liquidity RiskLiquidity Risk
Liquidity Risk
nikatmalik
 
INTEREST RATE RISK MANAGEMENT IN BANKS
INTEREST RATE RISK MANAGEMENT IN BANKSINTEREST RATE RISK MANAGEMENT IN BANKS
INTEREST RATE RISK MANAGEMENT IN BANKS
IBS Business School
 
Liquidity Risk Measurement
Liquidity Risk MeasurementLiquidity Risk Measurement
Liquidity Risk Measurement
Raja Abdarrahman
 
Measuring and Managing Liquidity Risk
Measuring and Managing Liquidity RiskMeasuring and Managing Liquidity Risk
Measuring and Managing Liquidity Risk
Danial822
 
Liquidity Risk Oct 4
Liquidity Risk Oct 4Liquidity Risk Oct 4
Liquidity Risk Oct 4
av vedpuriswar
 
Types of Risks and its Management in Banking
Types of Risks and its Management in BankingTypes of Risks and its Management in Banking
Types of Risks and its Management in Banking
Mohit Chhabra
 
Value at Risk
Value at RiskValue at Risk
Value at Risk
Erdem Tokmakoglu
 

Recommended

Management of interest rate risk
Management of interest rate riskManagement of interest rate risk
Management of interest rate risk
Sonam Basia
 
Liquidity Risk
Liquidity RiskLiquidity Risk
Liquidity Risk
nikatmalik
 
INTEREST RATE RISK MANAGEMENT IN BANKS
INTEREST RATE RISK MANAGEMENT IN BANKSINTEREST RATE RISK MANAGEMENT IN BANKS
INTEREST RATE RISK MANAGEMENT IN BANKS
IBS Business School
 
Liquidity Risk Measurement
Liquidity Risk MeasurementLiquidity Risk Measurement
Liquidity Risk Measurement
Raja Abdarrahman
 
Measuring and Managing Liquidity Risk
Measuring and Managing Liquidity RiskMeasuring and Managing Liquidity Risk
Measuring and Managing Liquidity Risk
Danial822
 
Liquidity Risk Oct 4
Liquidity Risk Oct 4Liquidity Risk Oct 4
Liquidity Risk Oct 4
av vedpuriswar
 
Types of Risks and its Management in Banking
Types of Risks and its Management in BankingTypes of Risks and its Management in Banking
Types of Risks and its Management in Banking
Mohit Chhabra
 
Value at Risk
Value at RiskValue at Risk
Value at Risk
Erdem Tokmakoglu
 
Credit Risk Management Presentation
Credit Risk Management PresentationCredit Risk Management Presentation
Credit Risk Management Presentation
Sumant Palwankar
 
Chapter 3 - Risk Management - 2nd Semester - M.Com - Bangalore University
Chapter 3 - Risk Management - 2nd Semester - M.Com - Bangalore UniversityChapter 3 - Risk Management - 2nd Semester - M.Com - Bangalore University
Chapter 3 - Risk Management - 2nd Semester - M.Com - Bangalore University
Swaminath Sam
 
Asset Liability management in Banks
Asset Liability management in BanksAsset Liability management in Banks
Asset Liability management in Banks
Pankaj Baid
 
Chapter 08 risk management in banks
Chapter 08 risk management in banksChapter 08 risk management in banks
Chapter 08 risk management in banks
iipmff2
 
Interest Rate Risk
Interest Rate Risk Interest Rate Risk
Interest Rate Risk
nikatmalik
 
4 liquidity management.ppt
4 liquidity management.ppt4 liquidity management.ppt
4 liquidity management.ppt
JahidulIslam758305
 
Currency Swaps
Currency SwapsCurrency Swaps
Currency Swaps
sai prakash
 
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLOFundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
Dr. Emmanuel ABOLO, fica,fnimn,ficn,sirm
 
Credit Risk
Credit RiskCredit Risk
Credit Risk
Barendra Kumar Bisoyi
 
Value at risk
Value at riskValue at risk
Value at risk
Mohit Rathi
 
Basel norms I II III & Risk Management in Banks
Basel norms I II III & Risk Management in BanksBasel norms I II III & Risk Management in Banks
Basel norms I II III & Risk Management in Banks
Abhijeet Deshmukh
 
Asset liability management
Asset liability managementAsset liability management
Asset liability management
firoze p
 
Asset Liability Management
Asset Liability ManagementAsset Liability Management
Asset Liability Management
Vikram Sankhala IIT, IIM, Ex IRS, FRM, Fin.Engr
 
Credit risk
Credit riskCredit risk
Credit risk
Ujjwal 'Shanu'
 
Chapter 4 - Risk Management - 2nd Semester - M.Com - Bangalore University
Chapter 4 - Risk Management - 2nd Semester - M.Com - Bangalore UniversityChapter 4 - Risk Management - 2nd Semester - M.Com - Bangalore University
Chapter 4 - Risk Management - 2nd Semester - M.Com - Bangalore University
Swaminath Sam
 
Report - Risk Management in Banks
Report - Risk Management in BanksReport - Risk Management in Banks
Report - Risk Management in Banks
Sharad Srivastava
 
Asset liability management
Asset liability managementAsset liability management
Asset liability management
Teena George
 
Asset Liability Management in India Banks
Asset Liability Management in India BanksAsset Liability Management in India Banks
Asset Liability Management in India Banks
Abhijeet Deshmukh
 
Bank risk management
Bank risk managementBank risk management
Bank risk management
Ashima Thakur
 
Credit management
Credit managementCredit management
Credit management
mammumammu
 
Introduction to Interest Rrate Risk Management
Introduction to Interest Rrate Risk ManagementIntroduction to Interest Rrate Risk Management
Introduction to Interest Rrate Risk Management
Mohamed Farouk, CFA, CFTe I
 
Risk management
Risk managementRisk management
Risk management
Karishma Singh
 

More Related Content

What's hot

Credit Risk Management Presentation
Credit Risk Management PresentationCredit Risk Management Presentation
Credit Risk Management Presentation
Sumant Palwankar
 
Chapter 08 risk management in banks
Chapter 08 risk management in banksChapter 08 risk management in banks
Chapter 08 risk management in banks
iipmff2
 
Basel norms I II III & Risk Management in Banks
Basel norms I II III & Risk Management in BanksBasel norms I II III & Risk Management in Banks
Basel norms I II III & Risk Management in Banks
Abhijeet Deshmukh
 
Report - Risk Management in Banks
Report - Risk Management in BanksReport - Risk Management in Banks
Report - Risk Management in Banks
Sharad Srivastava
 
Asset liability management
Asset liability managementAsset liability management
Asset liability management
Teena George
 
Credit management
Credit managementCredit management
Credit management
mammumammu
 

What's hot (20)

Credit Risk Management Presentation
Credit Risk Management PresentationCredit Risk Management Presentation
Credit Risk Management Presentation
 
Chapter 3 - Risk Management - 2nd Semester - M.Com - Bangalore University
Chapter 3 - Risk Management - 2nd Semester - M.Com - Bangalore UniversityChapter 3 - Risk Management - 2nd Semester - M.Com - Bangalore University
Chapter 3 - Risk Management - 2nd Semester - M.Com - Bangalore University
 
Asset Liability management in Banks
Asset Liability management in BanksAsset Liability management in Banks
Asset Liability management in Banks
 
Chapter 08 risk management in banks
Chapter 08 risk management in banksChapter 08 risk management in banks
Chapter 08 risk management in banks
 
Interest Rate Risk
Interest Rate Risk Interest Rate Risk
Interest Rate Risk
 
4 liquidity management.ppt
4 liquidity management.ppt4 liquidity management.ppt
4 liquidity management.ppt
 
Currency Swaps
Currency SwapsCurrency Swaps
Currency Swaps
 
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLOFundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
 
Credit Risk
Credit RiskCredit Risk
Credit Risk
 
Value at risk
Value at riskValue at risk
Value at risk
 
Basel norms I II III & Risk Management in Banks
Basel norms I II III & Risk Management in BanksBasel norms I II III & Risk Management in Banks
Basel norms I II III & Risk Management in Banks
 
Asset liability management
Asset liability managementAsset liability management
Asset liability management
 
Asset Liability Management
Asset Liability ManagementAsset Liability Management
Asset Liability Management
 
Credit risk
Credit riskCredit risk
Credit risk
 
Chapter 4 - Risk Management - 2nd Semester - M.Com - Bangalore University
Chapter 4 - Risk Management - 2nd Semester - M.Com - Bangalore UniversityChapter 4 - Risk Management - 2nd Semester - M.Com - Bangalore University
Chapter 4 - Risk Management - 2nd Semester - M.Com - Bangalore University
 
Report - Risk Management in Banks
Report - Risk Management in BanksReport - Risk Management in Banks
Report - Risk Management in Banks
 
Asset liability management
Asset liability managementAsset liability management
Asset liability management
 
Asset Liability Management in India Banks
Asset Liability Management in India BanksAsset Liability Management in India Banks
Asset Liability Management in India Banks
 
Bank risk management
Bank risk managementBank risk management
Bank risk management
 
Credit management
Credit managementCredit management
Credit management
 

Similar to Interest Rate Risk And Management

Asset liability management in banks
Asset liability management in banksAsset liability management in banks
Asset liability management in banks
Ujjwal 'Shanu'
 
CHAPTER 7 Part 2_A212 (1).ppt
CHAPTER 7 Part 2_A212 (1).pptCHAPTER 7 Part 2_A212 (1).ppt
CHAPTER 7 Part 2_A212 (1).ppt
azwanieysempoy
 
Chapter 24_Risk Management in Financial Institutions
Chapter 24_Risk Management in Financial InstitutionsChapter 24_Risk Management in Financial Institutions
Chapter 24_Risk Management in Financial Institutions
Rusman Mukhlis
 
Gap analysis in banks
Gap analysis in banksGap analysis in banks
Gap analysis in banks
has10nas
 

Similar to Interest Rate Risk And Management (20)

Introduction to Interest Rrate Risk Management
Introduction to Interest Rrate Risk ManagementIntroduction to Interest Rrate Risk Management
Introduction to Interest Rrate Risk Management
 
Risk management
Risk managementRisk management
Risk management
 
Asset liability management in banks
Asset liability management in banksAsset liability management in banks
Asset liability management in banks
 
MOB UNIT 4 Risk in banking.pptx
MOB UNIT 4 Risk in banking.pptxMOB UNIT 4 Risk in banking.pptx
MOB UNIT 4 Risk in banking.pptx
 
MOB UNIT 4 Risk in banking.pptx
MOB UNIT 4 Risk in banking.pptxMOB UNIT 4 Risk in banking.pptx
MOB UNIT 4 Risk in banking.pptx
 
Interest Rate Risk
Interest Rate RiskInterest Rate Risk
Interest Rate Risk
 
asset liability mgt in commercial banks.pptx
asset liability mgt in commercial banks.pptxasset liability mgt in commercial banks.pptx
asset liability mgt in commercial banks.pptx
 
“Over” and “Under” Valued Financial Institutions: Evidence from a “Fair-Value...
“Over” and “Under” Valued Financial Institutions: Evidence from a “Fair-Value...“Over” and “Under” Valued Financial Institutions: Evidence from a “Fair-Value...
“Over” and “Under” Valued Financial Institutions: Evidence from a “Fair-Value...
 
Asset and liability management - Principles and Practices of Banking
Asset and liability management - Principles and Practices of BankingAsset and liability management - Principles and Practices of Banking
Asset and liability management - Principles and Practices of Banking
 
Ch 12
Ch 12Ch 12
Ch 12
 
Pm 6
Pm 6Pm 6
Pm 6
 
CHAPTER 7 Part 2_A212 (1).ppt
CHAPTER 7 Part 2_A212 (1).pptCHAPTER 7 Part 2_A212 (1).ppt
CHAPTER 7 Part 2_A212 (1).ppt
 
Asset-Liability-Part-1-and-2.pptx
Asset-Liability-Part-1-and-2.pptxAsset-Liability-Part-1-and-2.pptx
Asset-Liability-Part-1-and-2.pptx
 
Stress Testing Commercial Real Estate Loans – No Time Like the Present
Stress Testing Commercial Real Estate Loans – No Time Like the PresentStress Testing Commercial Real Estate Loans – No Time Like the Present
Stress Testing Commercial Real Estate Loans – No Time Like the Present
 
Chapter 24_Risk Management in Financial Institutions
Chapter 24_Risk Management in Financial InstitutionsChapter 24_Risk Management in Financial Institutions
Chapter 24_Risk Management in Financial Institutions
 
Ms 422 - bank financial management
Ms 422 - bank financial managementMs 422 - bank financial management
Ms 422 - bank financial management
 
risk management in banks
risk management in banksrisk management in banks
risk management in banks
 
Ch08
Ch08Ch08
Ch08
 
Gap analysis in banks
Gap analysis in banksGap analysis in banks
Gap analysis in banks
 
Basel1 & 2
Basel1 & 2Basel1 & 2
Basel1 & 2
 

More from catelong

A Fistful of Dollars: Lobbying and the Financial Crisis†
A Fistful of Dollars: Lobbying and the Financial Crisis†A Fistful of Dollars: Lobbying and the Financial Crisis†
A Fistful of Dollars: Lobbying and the Financial Crisis†
catelong
 
Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial...
Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial...Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial...
Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial...
catelong
 
Macro Risk Premium and Intermediary Balance Sheet Quantities
Macro Risk Premium and Intermediary Balance Sheet QuantitiesMacro Risk Premium and Intermediary Balance Sheet Quantities
Macro Risk Premium and Intermediary Balance Sheet Quantities
catelong
 
Balance Sheet Adjustment
Balance Sheet AdjustmentBalance Sheet Adjustment
Balance Sheet Adjustment
catelong
 

More from catelong (20)

Mad meat! how securitized lending collapsed the financial system
Mad meat! how securitized lending collapsed the financial systemMad meat! how securitized lending collapsed the financial system
Mad meat! how securitized lending collapsed the financial system
 
From measuring production to measuring well-being
From measuring production to measuring well-beingFrom measuring production to measuring well-being
From measuring production to measuring well-being
 
GAO report on the US fiscal situation
GAO report on the US fiscal situationGAO report on the US fiscal situation
GAO report on the US fiscal situation
 
US Senate Financial Reform Managers Amendment Summary, March 23, 2010
US Senate Financial Reform Managers Amendment Summary, March 23, 2010US Senate Financial Reform Managers Amendment Summary, March 23, 2010
US Senate Financial Reform Managers Amendment Summary, March 23, 2010
 
Counterparty risk in a post Lehmans World -- January, 2010
Counterparty risk in a post Lehmans World -- January, 2010Counterparty risk in a post Lehmans World -- January, 2010
Counterparty risk in a post Lehmans World -- January, 2010
 
Discussion of “Do Global Banks Spread Global Imbalances?”
Discussion of “Do Global Banks Spread Global Imbalances?”Discussion of “Do Global Banks Spread Global Imbalances?”
Discussion of “Do Global Banks Spread Global Imbalances?”
 
Capital Adequacy Standards and Bank Capital
Capital Adequacy Standards and Bank CapitalCapital Adequacy Standards and Bank Capital
Capital Adequacy Standards and Bank Capital
 
A Fistful of Dollars: Lobbying and the Financial Crisis†
A Fistful of Dollars: Lobbying and the Financial Crisis†A Fistful of Dollars: Lobbying and the Financial Crisis†
A Fistful of Dollars: Lobbying and the Financial Crisis†
 
Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial...
Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial...Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial...
Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial...
 
Macro Risk Premium and Intermediary Balance Sheet Quantities
Macro Risk Premium and Intermediary Balance Sheet QuantitiesMacro Risk Premium and Intermediary Balance Sheet Quantities
Macro Risk Premium and Intermediary Balance Sheet Quantities
 
Balance Sheet Adjustment
Balance Sheet AdjustmentBalance Sheet Adjustment
Balance Sheet Adjustment
 
XBRL and Credit Ratings
XBRL and Credit RatingsXBRL and Credit Ratings
XBRL and Credit Ratings
 
Regulating Credit Default Swaps Preview For Press
Regulating Credit Default Swaps Preview For PressRegulating Credit Default Swaps Preview For Press
Regulating Credit Default Swaps Preview For Press
 
Creating stability in the financial system -- Narrow Banks
Creating stability in the financial system -- Narrow BanksCreating stability in the financial system -- Narrow Banks
Creating stability in the financial system -- Narrow Banks
 
What to do
What to doWhat to do
What to do
 
Moderninizing bank supervision and regulation
Moderninizing bank supervision and regulationModerninizing bank supervision and regulation
Moderninizing bank supervision and regulation
 
TARP for Dummies
TARP for DummiesTARP for Dummies
TARP for Dummies
 
GSE Nation
GSE NationGSE Nation
GSE Nation
 
A Bond Salesman
A Bond SalesmanA Bond Salesman
A Bond Salesman
 
Transparency for credit rating agencies
Transparency for credit rating agenciesTransparency for credit rating agencies
Transparency for credit rating agencies
 

Recently uploaded

In Sharjah ௵(+971)558539980 *_௵abortion pills now available.
In Sharjah ௵(+971)558539980 *_௵abortion pills now available.In Sharjah ௵(+971)558539980 *_௵abortion pills now available.
In Sharjah ௵(+971)558539980 *_௵abortion pills now available.
hyt3577
 
Female Russian Escorts Mumbai Call Girls-((ANdheri))9833754194-Jogeshawri Fre...
Female Russian Escorts Mumbai Call Girls-((ANdheri))9833754194-Jogeshawri Fre...Female Russian Escorts Mumbai Call Girls-((ANdheri))9833754194-Jogeshawri Fre...
Female Russian Escorts Mumbai Call Girls-((ANdheri))9833754194-Jogeshawri Fre...
priyasharma62062
 
MASTERING FOREX: STRATEGIES FOR SUCCESS.pdf
MASTERING FOREX: STRATEGIES FOR SUCCESS.pdfMASTERING FOREX: STRATEGIES FOR SUCCESS.pdf
MASTERING FOREX: STRATEGIES FOR SUCCESS.pdf
Cocity Enterprises
 
Bhubaneswar🌹Ravi Tailkes ❤CALL GIRLS 9777949614 💟 CALL GIRLS IN bhubaneswar ...
Bhubaneswar🌹Ravi Tailkes ❤CALL GIRLS 9777949614 💟 CALL GIRLS IN bhubaneswar ...Bhubaneswar🌹Ravi Tailkes ❤CALL GIRLS 9777949614 💟 CALL GIRLS IN bhubaneswar ...
Bhubaneswar🌹Ravi Tailkes ❤CALL GIRLS 9777949614 💟 CALL GIRLS IN bhubaneswar ...
Call Girls Mumbai
 
Kurla Capable Call Girls ,07506202331, Sion Affordable Call Girls
Kurla Capable Call Girls ,07506202331, Sion Affordable Call GirlsKurla Capable Call Girls ,07506202331, Sion Affordable Call Girls
Kurla Capable Call Girls ,07506202331, Sion Affordable Call Girls
Priya Reddy
 

Recently uploaded (20)

In Sharjah ௵(+971)558539980 *_௵abortion pills now available.
In Sharjah ௵(+971)558539980 *_௵abortion pills now available.In Sharjah ௵(+971)558539980 *_௵abortion pills now available.
In Sharjah ௵(+971)558539980 *_௵abortion pills now available.
 
Business Principles, Tools, and Techniques in Participating in Various Types...
Business Principles, Tools, and Techniques in Participating in Various Types...Business Principles, Tools, and Techniques in Participating in Various Types...
Business Principles, Tools, and Techniques in Participating in Various Types...
 
7 steps to achieve financial freedom.pdf
7 steps to achieve financial freedom.pdf7 steps to achieve financial freedom.pdf
7 steps to achieve financial freedom.pdf
 
Strategic Resources May 2024 Corporate Presentation
Strategic Resources May 2024 Corporate PresentationStrategic Resources May 2024 Corporate Presentation
Strategic Resources May 2024 Corporate Presentation
 
Explore Dual Citizenship in Africa | Citizenship Benefits & Requirements
Explore Dual Citizenship in Africa | Citizenship Benefits & RequirementsExplore Dual Citizenship in Africa | Citizenship Benefits & Requirements
Explore Dual Citizenship in Africa | Citizenship Benefits & Requirements
 
Fixed exchange rate and flexible exchange rate.pptx
Fixed exchange rate and flexible exchange rate.pptxFixed exchange rate and flexible exchange rate.pptx
Fixed exchange rate and flexible exchange rate.pptx
 
Turbhe Fantastic Escorts📞📞9833754194 Kopar Khairane Marathi Call Girls-Kopar ...
Turbhe Fantastic Escorts📞📞9833754194 Kopar Khairane Marathi Call Girls-Kopar ...Turbhe Fantastic Escorts📞📞9833754194 Kopar Khairane Marathi Call Girls-Kopar ...
Turbhe Fantastic Escorts📞📞9833754194 Kopar Khairane Marathi Call Girls-Kopar ...
 
Female Escorts Service in Hyderabad Starting with 5000/- for Savita Escorts S...
Female Escorts Service in Hyderabad Starting with 5000/- for Savita Escorts S...Female Escorts Service in Hyderabad Starting with 5000/- for Savita Escorts S...
Female Escorts Service in Hyderabad Starting with 5000/- for Savita Escorts S...
 
Seeman_Fiintouch_LLP_Newsletter_May-2024.pdf
Seeman_Fiintouch_LLP_Newsletter_May-2024.pdfSeeman_Fiintouch_LLP_Newsletter_May-2024.pdf
Seeman_Fiintouch_LLP_Newsletter_May-2024.pdf
 
Kopar Khairane Cheapest Call Girls✔✔✔9833754194 Nerul Premium Call Girls-Navi...
Kopar Khairane Cheapest Call Girls✔✔✔9833754194 Nerul Premium Call Girls-Navi...Kopar Khairane Cheapest Call Girls✔✔✔9833754194 Nerul Premium Call Girls-Navi...
Kopar Khairane Cheapest Call Girls✔✔✔9833754194 Nerul Premium Call Girls-Navi...
 
Q1 2024 Conference Call Presentation vF.pdf
Q1 2024 Conference Call Presentation vF.pdfQ1 2024 Conference Call Presentation vF.pdf
Q1 2024 Conference Call Presentation vF.pdf
 
Certified Kala Jadu, Black magic specialist in Rawalpindi and Bangali Amil ba...
Certified Kala Jadu, Black magic specialist in Rawalpindi and Bangali Amil ba...Certified Kala Jadu, Black magic specialist in Rawalpindi and Bangali Amil ba...
Certified Kala Jadu, Black magic specialist in Rawalpindi and Bangali Amil ba...
 
W.D. Gann Theory Complete Information.pdf
W.D. Gann Theory Complete Information.pdfW.D. Gann Theory Complete Information.pdf
W.D. Gann Theory Complete Information.pdf
 
Female Russian Escorts Mumbai Call Girls-((ANdheri))9833754194-Jogeshawri Fre...
Female Russian Escorts Mumbai Call Girls-((ANdheri))9833754194-Jogeshawri Fre...Female Russian Escorts Mumbai Call Girls-((ANdheri))9833754194-Jogeshawri Fre...
Female Russian Escorts Mumbai Call Girls-((ANdheri))9833754194-Jogeshawri Fre...
 
GIFT City Overview India's Gateway to Global Finance
GIFT City Overview India's Gateway to Global FinanceGIFT City Overview India's Gateway to Global Finance
GIFT City Overview India's Gateway to Global Finance
 
Webinar on E-Invoicing for Fintech Belgium
Webinar on E-Invoicing for Fintech BelgiumWebinar on E-Invoicing for Fintech Belgium
Webinar on E-Invoicing for Fintech Belgium
 
Solution Manual For Financial Statement Analysis, 13th Edition By Charles H. ...
Solution Manual For Financial Statement Analysis, 13th Edition By Charles H. ...Solution Manual For Financial Statement Analysis, 13th Edition By Charles H. ...
Solution Manual For Financial Statement Analysis, 13th Edition By Charles H. ...
 
MASTERING FOREX: STRATEGIES FOR SUCCESS.pdf
MASTERING FOREX: STRATEGIES FOR SUCCESS.pdfMASTERING FOREX: STRATEGIES FOR SUCCESS.pdf
MASTERING FOREX: STRATEGIES FOR SUCCESS.pdf
 
Bhubaneswar🌹Ravi Tailkes ❤CALL GIRLS 9777949614 💟 CALL GIRLS IN bhubaneswar ...
Bhubaneswar🌹Ravi Tailkes ❤CALL GIRLS 9777949614 💟 CALL GIRLS IN bhubaneswar ...Bhubaneswar🌹Ravi Tailkes ❤CALL GIRLS 9777949614 💟 CALL GIRLS IN bhubaneswar ...
Bhubaneswar🌹Ravi Tailkes ❤CALL GIRLS 9777949614 💟 CALL GIRLS IN bhubaneswar ...
 
Kurla Capable Call Girls ,07506202331, Sion Affordable Call Girls
Kurla Capable Call Girls ,07506202331, Sion Affordable Call GirlsKurla Capable Call Girls ,07506202331, Sion Affordable Call Girls
Kurla Capable Call Girls ,07506202331, Sion Affordable Call Girls
 

Interest Rate Risk And Management

  • 1. Interest Rate Risk Management Christine Brown Associate Professor Department of Finance The University of Melbourne
  • 2.
  • 3.
  • 4.
  • 5.
  • 6.
  • 7.
  • 8.
  • 9.
  • 10.
  • 11. Example (months) Reset date 0-3 3-6 6-12 12-24 24+ Assets 80 0 0 70 0 Liabilities 20 130 0 0 0 Gap +60 -130 0 +70 0 Cumulative Gap +60 -70 -70 0 0
  • 12.
  • 13.
  • 14.
  • 15.
  • 16. Duration - A Graphic Depiction time 0 asset cash flows present value of cash flows 1 2 3 4 5 6 Duration
  • 17.
  • 18.
  • 19.