English, Article, Journal or magazine article edition: La exigencia de capitales mínimos por riesgo de tasa de interés - Nota técnica; Capital requirements for interest rate risk - Technical note Delfiner, Miguel; Del Canto, Angel

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Bookmark: http://trove.nla.gov.au/version/122515
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • La exigencia de capitales mínimos por riesgo de tasa de interés - Nota técnica; Capital requirements for interest rate risk - Technical note
Author
  • Delfiner, Miguel
  • Del Canto, Angel
Physical Description
  • preprint
Notes
  • 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.
  • capital requirement for interest rate risk
  • RePEc:pra:mprapa:15814
Language
  • English
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