Non-parallel risk: 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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* [[Back test]] | * [[Back test]] | ||
* [[Interest rate risk]] | * [[Interest rate risk]] | ||
* [[ | * [[Interest Rate Risk in the Banking Book]] (IRRBB) | ||
* [[Non-parallel shock]] | * [[Non-parallel shock]] | ||
* [[Parallel risk]] | * [[Parallel risk]] | ||
* [[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.
Non-parallel risk is the risk of adverse effects from non-parallel changes in interest rates.
Non-parallel changes affect interest rates of different maturities by different amounts.
