文章基本信息

标题：INTEREST RATE RISK QUANTIFICATION MODELS
本地全文：下载
作者：Puiu, Ana-Cornelia ; Radu, Alina Nicoleta
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2008
卷号：11(528)(supplement)
期号：11(528)(supplement)
页码：285-292
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：The acceptance and management of financial risk is inherent to the business of banking and banks’ roles as financial intermediaries. To meet the demands of their customers and communities and to execute business strategies, banks make loans, purchase securities, and take deposits with different maturities and interest rates. These activities may leave a bank’s earnings and capital exposed to movements in interest rates. This exposure is interest rate risk. Changes in banks’ competitive environment, products and services have heightened the importance of prudent interest rate risk management.
关键词：maturity gap; duration gap; immunization; asset sensitive; liability sensitive.