Interest rate analysis

Interest rate analysis
  Is used to show the analysis on what-if situations if the mismatched book is closed at the market rate and what will happen to the interest flow if market rates go up/down by a certain percentage.
  The total interest book is split into two parts, the matched book and the mismatched book. The interest flow for the mismatched book is calculated by comparing the contract rates against the market rates.
  For the sensitivity analysis, interest flow of unmatched book is also analysed in situations when market rate move up by 1% and when market rates move down by 1%. See also Position, position administration tables, Standard position codes, Combined position code, Risk management, Foreign exchange risk, Forex, Open currency position, Mismatch, Interest risk, Liquidity risk, forward revaluation, interest revaluation, break even and Nostro projection.

International financial encyclopaedia . 2014.

Игры ⚽ Поможем сделать НИР

Look at other dictionaries:

  • Interest rate risk — is the risk (variability in value) borne by an interest bearing asset, such as a loan or a bond, due to variability of interest rates. In general, as rates rise, the price of a fixed rate bond will fall, and vice versa. Interest rate risk is… …   Wikipedia

  • interest-rate risk — interest rate exposure The risk arising from changes in interest rates. In recent decades the different forms of interest rate risk have been the subject of much analysis, monitoring, and scrutiny. In the 1980s, for example, the savings and loan… …   Accounting dictionary

  • interest-rate risk — interest rate exposure The risk arising from changes in interest rates. In recent decades the different forms of interest rate risk have been the subject of much analysis, monitoring, and scrutiny. In the 1980s, for example, the savings and loan… …   Big dictionary of business and management

  • Nominal interest rate — In finance and economics nominal interest rate or nominal rate of interest refers to the rate of interest before adjustment for inflation (in contrast with the real interest rate); or, for interest rates as stated without adjustment for the full… …   Wikipedia

  • Constant rate in interest sensitivity analysis —   The average interest rate of the funding (negative gap) or the average interest rate of the lending (positive gap) necessary to maintain in each specified time period the present spread. See also Risk management and break even rate …   International financial encyclopaedia

  • Break even rate in interest sensitivity analysis —   The average interest rate of the funding (negative gap) or the average interest rate of the lending (positive gap) necessary to break even (zero profit) the mismatch in each specified time period. See also Risk management …   International financial encyclopaedia

  • Average rate in interest sensitivity analysis —   The average interest rate of total remaining assets or liabilities (See also Remaining product life time interest sensitivity) in each specified time period …   International financial encyclopaedia

  • Interest result —   Is usually shown in two reports: • Break even rates report. • Interest rate analysis.   See also Position, position administration tables, Standard position codes, Combined position code, Risk management, Foreign exchange risk, Forex, Open… …   International financial encyclopaedia

  • Rate of return — In finance, rate of return (ROR), also known as return on investment (ROI), rate of profit or sometimes just return, is the ratio of money gained or lost (whether realized or unrealized) on an investment relative to the amount of money invested.… …   Wikipedia

  • Interest — For other uses, see Interest (disambiguation). Interest is a fee paid by a borrower of assets to the owner as a form of compensation for the use of the assets. It is most commonly the price paid for the use of borrowed money,[1] or money earned… …   Wikipedia

Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”