Non-parallel shock

From ACT Wiki
Revision as of 10:51, 24 August 2016 by imported>Doug Williamson (Create the page. Sources: linked pages and BIS http://www.bis.org/bcbs/publ/d368.pdf)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
Jump to navigationJump to search

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.


See also