Interest rate risk analysis of Spanish banks
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Interest rate risk analysis of Spanish banks

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Published by Institute of European Finance, University of Wales, Bangor in Bangor (Wales) .
Written in English

Subjects:

  • Banks and banking -- Spain.,
  • Interest rates -- Spain.,
  • Interest rate risk -- Spain.

Book details:

Edition Notes

Includes bibliographical references (p13).

StatementAna Isabel Fernández, Myriam García Olalla and Víctor M. González.
SeriesResearch papers in banking and finance -- RP 96/4
ContributionsGarcía Olalla, Myriam., González, Víctor M., University of Wales, Bangor. Institute of European Finance.
The Physical Object
Pagination13p. ;
Number of Pages13
ID Numbers
Open LibraryOL19591681M

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PDF | On Jun 5, , Laura Ballester and others published Parametric and nonparametric analysis of interest rate exposure of Spanish banks | Find, read and cite all the research you need on. The analysis shows that the balance of risks to financial stability has worsened mainly due to the lower risk-free interest rate of the economy, but also to banks’ improved risk profile, manifested, among other variables, in higher solvency ratios. Spanish banks have a higher share of their business in less mature markets where marginsAuthor: Pablo Hernández de Cos. The analytical VaR for interest rate risk in the banking book can be calculated as follows: It is important to note the advantage of using independent principal components: the value losses due to the first scenario (the level change of the interest rate) can be processed with the value losses for the second and third scenarios. The interest rate risk in banking book refers to the risk to a bank’s capital and earnings arising from adverse movements in interest rates that affect banking book positions. Any changes in interest rates have an impact on the present value of future cash flows on the bank.

Interest rate risk in banking book (IRRBB) refers to the current or prospective risk to a bank’s capital and earnings arising from adverse movements in interest rates that affect banking book Size: KB. In fact, about 50% of the banks performed some high level analysis (e.g. gap analysis), but all decided not to take any further action yet. The other 50% of the banks (showing higher concentration in smaller banks) is The regulators’ proposals to add interest rate risk in the banking book (IRRBB) to the calculation of banks’ Pillar 1 File Size: KB. the management of interest rate risk at certain banks. The notional amount of interest rate contracts—such as interest rate options, swaps, futures, and forward rate agreements—has grown from $ trillion in to $ trillion as of midyear These contracts are highly concentrated among large institu-File Size: KB. Interest Rate Risk in the Banking Book (IRRBB) IRRBB Overview Interest rate risk in the Banking Book (IRRBB) is the risk to earnings or capital arising from movement of interest rates. It generally arises from Repricing risk, risks related to the timing mismatch in the .

Measurement of Banks' Exposure to Interest Rate Risk Author: Basel Committee on Banking Supervision Subject: Full text of Basel Committee paper No. 11 - Measurement of Banks' Exposure to Interest Rate Risk, April Created Date: Z. Basel interest rate coefficient when used as risk measures. Third, there is a reasonable theoretical rationale and there is strong empirical evidence for banks' search for yield in interest rate risk, i.e. a negative link between the term spread and the ta-king of interest rate risk by banks. There is even a. A stricter threshold for identifying outlier banks, which is has been reduced from 20% of a bank's total capital to 15% of a bank's Tier 1 capital. The standards reflect changes in market and supervisory practices since the Principles were first published in , which is particularly pertinent in light of the current exceptionally low interest rates in many jurisdictions.   With the interest rate risk of the banking book, the Basel Committee on Banking Supervision (BCBS) 1 aims primarily to address the potential loss of economic value of institutions from a change in the interest rates called IRR and Credit Spread Risk (CSR) in the banking book 2.