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)
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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.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | La exigencia de capitales mínimos por riesgo de tasa de interés - Nota técnica |
| English Title: | Capital requirements for interest rate risk - Technical note |
| Language: | Spanish |
| Keywords: | capital requirement for interest rate risk |
| Subjects: | G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation |
| Item ID: | 15814 |
| Depositing User: | Miguel Delfiner |
| Date Deposited: | 19 Jun 2009 12:55 |
| Last Modified: | 04 Oct 2019 17:20 |
| References: | Central Bank of Argentina Minimum Capital Orderly Text. Balzarotti, V. Descalce de Tasa: Riesgo y Capitales Mínimos, Nov-98, pp.47-48. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/15814 |
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