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 (Layout.) |
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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. | ||
Revision as of 18:37, 13 November 2016
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.
