IRRBB and Matching: Difference between pages

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''Bank supervision - capital adequacy.''
1.  


Interest Rate Risk in the Banking Book.
Arranging that in a portfolio of assets and liabilities the cash flows generated by the assets can be expected to meet the liability payouts either because (1) the assets generate income of the right amount at the right time or (2) because the market values of the assets are linked to (positively correlated with) the market values of the liabilities.
 
 
2.
 
Equalising or approximating the modified duration of assets and liabilities in a portfolio, to manage interest rate risk.
 
 
3.
 
Equalising or approximating both the modified duration and the modified convexity of assets and liabilities in a portfolio.
 
 
4. ''Financial reporting''
 
The Accruals concept in accounting.




== See also ==
== See also ==
* [[Interest Rate Risk in the Banking Book]]
* [[Accruals concept]]
* [[Market Risk in the Banking Book]] (MRBB)
* [[Correlation]]
* [[Pillar 2]]
* [[Diversification]]
* [[Immunisation]]
* [[Interest rate risk]]
* [[Modified convexity]]
* [[Modified duration]]
* [[Portfolio immunisation]]


[[Category:Accounting,_tax_and_regulation]]
[[Category:The_business_context]]
[[Category:Identify_and_assess_risks]]
[[Category:Manage_risks]]
[[Category:Manage_risks]]
[[Category:Risk_frameworks]]
[[Category:Risk_reporting]]
[[Category:Financial_products_and_markets]]

Revision as of 11:26, 10 September 2020

1.

Arranging that in a portfolio of assets and liabilities the cash flows generated by the assets can be expected to meet the liability payouts either because (1) the assets generate income of the right amount at the right time or (2) because the market values of the assets are linked to (positively correlated with) the market values of the liabilities.


2.

Equalising or approximating the modified duration of assets and liabilities in a portfolio, to manage interest rate risk.


3.

Equalising or approximating both the modified duration and the modified convexity of assets and liabilities in a portfolio.


4. Financial reporting

The Accruals concept in accounting.


See also