IRB and Interest gap: Difference between pages

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''Capital adequacy''.
A mismatch in the timing at which interest rate assets and liabilities are repriced.


Internal Ratings Based.
A positive gap (assets repricing more quickly than liabilities) means an exposure to falling interest rates and vice versa.


An approach to determining capital requirements for banks and other financial institutions, which includes risk assessments made internally by the regulated institution itself.


Banks and other financial institutions commonly have a 'structural' interest gap, resulting from the nature of their business and the structure of their balance sheets.


Also known as Internal ''Risk'' Based approach.
 
This structural interest gap is usually negative.
 
The negative interest gap results from shorter-term liabilities funding longer term assets.




== See also ==
== See also ==
 
* [[Assets]]
* [[Capital adequacy]]
* [[Gap report]]
* [[RWAs]]
* [[Liabilities]]
* [[Maturity ladder]]
* [[Exposure]]

Revision as of 08:26, 12 August 2016

A mismatch in the timing at which interest rate assets and liabilities are repriced.

A positive gap (assets repricing more quickly than liabilities) means an exposure to falling interest rates and vice versa.


Banks and other financial institutions commonly have a 'structural' interest gap, resulting from the nature of their business and the structure of their balance sheets.


This structural interest gap is usually negative.

The negative interest gap results from shorter-term liabilities funding longer term assets.


See also