Non-parallel risk

From ACT Wiki
Revision as of 10:54, 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.

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.


See also

Retrieved from ‘https://wiki.treasurers.org/w/index.php?title=Non-parallel_risk&oldid=34648’