Non-parallel shock: Difference between revisions
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imported>Doug Williamson (Create the page. Sources: linked pages and BIS http://www.bis.org/bcbs/publ/d368.pdf) |
imported>Doug Williamson (Classify page.) |
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''Interest rate risk | ''Interest rate risk'' | ||
A change in interest rates, which affects interest rates of different maturities by different amounts. | A change in interest rates, which affects interest rates of different maturities by different amounts. | ||
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* [[Back test]] | * [[Back test]] | ||
* [[Interest rate risk]] | * [[Interest rate risk]] | ||
* [[ | * [[Interest Rate Risk in the Banking Book]] (IRRBB) | ||
* [[Parallel shock]] | * [[Parallel shock]] | ||
* [[Shock]] | * [[Shock]] | ||
* [[Yield curve risk]] | * [[Yield curve risk]] | ||
[[Category:Identify_and_assess_risks]] | |||
[[Category:Manage_risks]] | |||
[[Category:Risk_frameworks]] | |||
[[Category:Risk_reporting]] | |||
Latest revision as of 09:12, 24 June 2022
Interest rate risk
A change in interest rates, which affects interest rates of different maturities by different amounts.
This means that the differentials between the rates for different maturities will change, introducing an additional risk for organisations.
