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Authors
García García, AbelIssue Date
2014-08-19xmlui.metadata.dc.contributor.email
peabgarc@upc.edu.pe
Metadata
Show full item recordOther Titles
Basic Considerations Regarding Structural Interest Rate RiskCitation
Sinergia e Innovación, 2(1), 121-155Journal
Sinergia e InnovaciónAdditional Links
http://revistas.upc.edu.pe/index.php/sinergia/article/view/198Abstract
Structural interest risk rate is the potential change that occurs in a financial institution’s financial margin and/or the economic value (market value) due to a variation in the types of interest. The exposure to adverse movement in the types of interest is an inherent risk in banking activity that, at the same time, becomes an opportunity that can be used to create economic value. As such, interest rate risk should be measured and managed such that it isn’t too high in relation to the financial institution’s assets and that it is reasonable in relation to the economic performance that management and stockholders estimate. This article considers a series of metrics that calculate structural interest rate risk indicators: accounting GAP, margin at risk, earnings at risk, financial margin sensitivity, duration GAP, asset value at risk and economic value sensitivity.Type
info:eu-repo/semantics/articleRights
info:eu-repo/semantics/openAccessLanguage
spaISSN
2306-6431Collections
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