Munich Personal RePEc Archive

La exigencia de capitales mínimos por riesgo de tasa de interés - Nota técnica

Delfiner, Miguel and Del Canto, Angel (2008): La exigencia de capitales mínimos por riesgo de tasa de interés - Nota técnica. Published in: (1. February 2008)

[img]
Preview
PDF
MPRA_paper_15814.pdf

Download (239Kb) | Preview

Abstract

Drawing on the use of a very simple hypothetical example this document illustrates how to apply the formulae that determines the capital requirement for interest rate risk. The note starts with a brief explanation on the fundamentals that determine the formulae and the way cash flows are to be assigned to the different time-bands. Next, by means of an a hypothetical balance sheet, the interest rate risk capital requirement is worked out step-by-step. A spreadsheet is attached which includes all calculations.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.