CHAPTER 13 Measurement of Interest-Rate Risk for ALM - PowerPoint PPT Presentation

1 / 32

About This Presentation

Title:

CHAPTER 13 Measurement of Interest-Rate Risk for ALM

Description:

CHAPTER 13 Measurement of Interest-Rate Risk for ALM What is in this Chapter? INTRODUCTION RATE-SHIFT SCENARIOS SIMULATION METHODS INTRODUCTION The purposes of ... – PowerPoint PPT presentation

Number of Views:172

Avg rating:3.0/5.0

Slides: 33

Provided by: cec83

Category:

Tags: alm | chapter | interest | liquidity | measurement | rate | risk

Transcript and Presenter's Notes

Title: CHAPTER 13 Measurement of Interest-Rate Risk for ALM

1
CHAPTER 13Measurement of Interest-Rate Risk for
ALM
What is in this Chapter? INTRODUCTION
RATE-SHIFT SCENARIOS SIMULATION METHODS

Write a Comment

User Comments (0)

About PowerShow.com

Recommended Relevance Latest Highest Rated Most Viewed

Sort by:

Related More from user

CrystalGraphics Presentations

Introducing-PowerShowcom PowerPoint PPT Presentation

Introducing-PowerShowcom - Introducing-PowerShowcom (Without Music)

CrystalGraphics 3D Character Slides for PowerPoint PowerPoint PPT Presentation

CrystalGraphics 3D Character Slides for PowerPoint - CrystalGraphics 3D Character Slides for PowerPoint

Chart and Diagram Slides for PowerPoint PowerPoint PPT Presentation

Chart and Diagram Slides for PowerPoint - Beautifully designed chart and diagram s for PowerPoint with visually stunning graphics and animation effects. Our new CrystalGraphics Chart and Diagram Slides for PowerPoint is a collection of over 1000 impressively designed data-driven chart and editable diagram s guaranteed to impress any audience. They are all artistically enhanced with visually stunning color, shadow and lighting effects. Many of them are also animated. And they’re ready for you to use in your PowerPoint presentations the moment you need them. – PowerPoint PPT presentation

Related Presentations

Interest%20rates%20(Chapter%206) PowerPoint PPT Presentation

Interest%20rates%20(Chapter%206) - Exam type question. The real risk-free rate, k*, is expected to remain constant at 3 percent per year. Inflation is expected to be 2 percent per year forever. | PowerPoint PPT presentation | free to view

Interest Rate Risk Management PowerPoint PPT Presentation

Interest Rate Risk Management - Thus, for the case where there is only one liability cash flow, Jensen s Inequality implies that if the asset cash flows have the same present value as the ... | PowerPoint PPT presentation | free to view

Chapter 2 The Financial Environment Markets Institutions Interest Rates PowerPoint PPT Presentation

Chapter 2 The Financial Environment Markets Institutions Interest Rates - Chapter 2 The Financial Environment Markets Institutions Interest Rates 2 2 4 4 4 5 6 7 8 8 8 9 10 11 12 12 17 18 20 21 22 13 * The Financial Markets Debt versus ... | PowerPoint PPT presentation | free to view

Chapter 16 Financial Decisions and Risk Management PowerPoint PPT Presentation

Chapter 16 Financial Decisions and Risk Management - Investors want higher interest rate. Overall, paying interest results in less taxes ... Pledged assets (e.g. mortgage) Guarantees (e.g. by owner, by government) ... | PowerPoint PPT presentation | free to view

Chapter 7' Risk and Term Structure of Interest Rates PowerPoint PPT Presentation

Chapter 7' Risk and Term Structure of Interest Rates - Not all interest rates are created equal! many interest rates at one time ... Wolverine Tube. Defaults. Most likely in industrial sector. Defaults over past 10 years: ... | PowerPoint PPT presentation | free to view

Measuring Interest Rate Risk with Duration GAP PowerPoint PPT Presentation

Measuring Interest Rate Risk with Duration GAP - ... against any change when rates change , the bank could set the duration gap to zero: ... Interest Rates on a Bank's Equity. No Change. Interest Rate Fall ... | PowerPoint PPT presentation | free to view

Managing Interest Rate Risk: GAP and Earnings Sensitivity PowerPoint PPT Presentation

Managing Interest Rate Risk: GAP and Earnings Sensitivity - What is the bank's 1-year GAP with the auto loan? RSA1yr = $0. RSL1yr = $10,000 ... Cap (maximum) rate on a floating-rate loan ... | PowerPoint PPT presentation | free to view

Chapter 1 An Overview of Managerial Finance PowerPoint PPT Presentation

Chapter 1 An Overview of Managerial Finance - Title: Chapter 1 An Overview of Managerial Finance Author: Susan Cook Last modified by: JEFFREY P. MARANAN Created Date: 1/24/2004 6:24:47 PM Document presentation format | PowerPoint PPT presentation | free to view

CHAPTER 5 Risk and Rates of Return PowerPoint PPT Presentation

CHAPTER 5 Risk and Rates of Return - Return & Risk Return is the annual income received plus any change in market price of an asset or investment. Risk is the ... What is investment risk? Measurement ... | PowerPoint PPT presentation | free to view

Chapter 6 Determining Interest Rates PowerPoint PPT Presentation

Chapter 6 Determining Interest Rates - ... average level of nominal interest rates ... The interest rate is at the level that equates the amount of loanable funds ... Explaining Interest-Rate Changes ... | PowerPoint PPT presentation | free to view

Options on Stock Indices, Currencies, and Futures Chapter 13 PowerPoint PPT Presentation

Options on Stock Indices, Currencies, and Futures Chapter 13 - The exchange rate risk to Iris is that the CD may depreciate against the USD. ... Current spot and forward exchange rates are USD.75/CD and USD.7447/CD, respectively. ... | PowerPoint PPT presentation | free to view

sap trm(Treasury & Risk Management) online training PowerPoint PPT Presentation

sap trm(Treasury & Risk Management) online training - www.magnifictraining.com - " SAP Treasury & Risk Management(TRM) ONLINE TRAINING " contact us:info@magnifictraining.com or+1-6786933994,+1-6786933475, +919052666559 By Real Time Experts from Hyderabad, Bangalore,India,USA,Canada,UK, Australia,South Africa. SAP Treasury Management and Risk Management Configuration 1. General Settings in Transaction Manager 2. General settings Define Company Code additional data Define Portfolio Define Traders 3. Assign Factory Calendar 4. Define and Assign Accounting codes and Valuation areas 5. Initialization of Parallel Valuation Areas Define and Assign Valuation Classes 6. Define Account Determination 7. Money Market / Foreign Exchange 8. Define Product Types 9. Define Number range for Transaction Types 10. Define Flow Types Assign Flow Type to Transaction Type | PowerPoint PPT presentation | free to view

Chapter 18 Real Estate Finance Tools: Present Value and Mortgage Mathematics PowerPoint PPT Presentation

Chapter 18 Real Estate Finance Tools: Present Value and Mortgage Mathematics - ... money if there is a drop in mortgage interest rates ... Mortgage rates are expected to further drop. Deciding whether refinancing is profitable or not: ... | PowerPoint PPT presentation | free to view

CHAPTER 13 Capital Structure and Leverage PowerPoint PPT Presentation

CHAPTER 13 Capital Structure and Leverage - CHAPTER 13 Capital Structure and Leverage Business vs. financial risk Optimal capital structure Operating leverage Capital structure theory What is business risk? | PowerPoint PPT presentation | free to view

Interest Rates and Risk Premiums Chapter 5 PowerPoint PPT Presentation

Interest Rates and Risk Premiums Chapter 5 - Interest Rates and Risk Premiums - Chapter 5. Investor Objectives ... Federal Reserve Actions (Alan Greenspan) Level of Interest Rates. Real vs. Nominal Rates ... | PowerPoint PPT presentation | free to view

Chapter 5 Residential Market Analysis PowerPoint PPT Presentation

Chapter 5 Residential Market Analysis - Mortgage interest rates. Seasonality (climate, schools, holidays) ... Income tax rate. Mortgage rates & Financing programs. Investment aspects. Budgeting risk ... | PowerPoint PPT presentation | free to view

Chapter 6: The International Monetary System and Balance of Payments PowerPoint PPT Presentation

Chapter 6: The International Monetary System and Balance of Payments - Comparing fixed and flexible exchange rate regimes ... A fixed exchange rate may become unsustainable in the not too distant future if ... | PowerPoint PPT presentation | free to view

Chapter 9 Banking and the Management of Financial Institutions PowerPoint PPT Presentation

Chapter 9 Banking and the Management of Financial Institutions - CD holdings and bank borrowings have increased from 2% to 42% (of liabilities) by 2005 ... As interest rates become more volatile a bank needs to manage not ... | PowerPoint PPT presentation | free to view

Measuring the Interest Rate Sensitivity of Loss Reserves PowerPoint PPT Presentation

Measuring the Interest Rate Sensitivity of Loss Reserves - ... liability management can hedge interest rate risk. Why Worry About Interest Rate Risk? ... Take the second derivative of price with respect to the interest rate ... | PowerPoint PPT presentation | free to view

Quantifying interest rate risk PowerPoint PPT Presentation

Quantifying interest rate risk - Quantifying interest rate risk. Tools and their uses. Price and yield ... Measurement of interest rate sensitivity. Regulatory compliance and reporting ... | PowerPoint PPT presentation | free to view

CHAPTER 9 Determining the Cost of Capital PowerPoint PPT Presentation

CHAPTER 9 Determining the Cost of Capital - Find the division s market risk and cost of capital based ... the techniques in Chapter 12. ... either in capital budgeting cash flows or in cost of capital. | PowerPoint PPT presentation | free to view

CHAPTER 11 Foreign Exchange Futures PowerPoint PPT Presentation

CHAPTER 11 Foreign Exchange Futures - Determinants of Foreign Exchange Rates. Futures Price Parity ... Figure 11.1 shows foreign exchange rate quotations as they appear in the Wall Street Journal. ... | PowerPoint PPT presentation | free to view

Monetary and Exchange-Rate Policies PowerPoint PPT Presentation

Monetary and Exchange-Rate Policies - Monetary and Exchange-Rate Policies READING ASSIGNMENT: Oatley Chapter 13 * Plan for today Review electoral models. Especially The Sectoral model of ... | PowerPoint PPT presentation | free to view

Interest rates Chapter 6 PowerPoint PPT Presentation

Interest rates Chapter 6 - ... following CD rates: 2.8% for a 2-year (24 months) CD, and ... PEH says that one-year CD rate, one year from now, will yield 3.2% FIN303. Vicentiu Covrig ... | PowerPoint PPT presentation | free to view

Chapter Seven Cardiovascular Fitness PowerPoint PPT Presentation

Chapter Seven Cardiovascular Fitness - heart rate that should not be exceeded during exercise; found by ... Monitoring the Heart. Heart rate is affected by. position. activity level. body size ... | PowerPoint PPT presentation | free to view

Understanding Interest Rates PowerPoint PPT Presentation

Understanding Interest Rates - The higher the interest rates, the lower its duration; ... What loss would the fund be exposed to if the interest rate rises to 11% tomorrow? ... | PowerPoint PPT presentation | free to view

Chapter Nine PowerPoint PPT Presentation

Chapter Nine - ... got less of the QSD, compensating the swap bank for WAMU's higher default risk. ... Credit Risk ... swap dealer the risk that a counter party will default ... | PowerPoint PPT presentation | free to view