Repricing risk and Reset risk: Difference between pages
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(Create page - source - The Treasurer, December 2023, Issue 4, p30.) |
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''Floating interest rates - risk management - repricing risk.'' | |||
Reset risk is a type of repricing risk. | |||
Repricing risk is the risk of adverse effects resulting from changes in floating interest rates. | |||
Reset risk is the additional risk resulting from a relevant reference rate being observed on a single day - and then incorporated into a longer contractual period. | |||
"There is [ ] no ‘reset risk’ in Risk Free Rates (RFRs) since the interest rate coupon will be reflective of market observations over the entire interest rate period, not just on the reset date." | |||
''Pieter Bierkens, former chair of Australia's LIBOR reform working group - The Treasurer, December 2023 Issue 4, p30.'' | |||
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* [[Rate reset]] | * [[Rate reset]] | ||
* [[Repricing ]] | * [[Repricing ]] | ||
* [[ | * [[Repricing risk]] | ||
* [[Risk free rates]] (RFRs) | |||
* [[Risk management]] | * [[Risk management]] | ||
[[Category:Financial_products_and_markets]] | [[Category:Financial_products_and_markets]] | ||
[[Category:Identify_and_assess_risks]] | [[Category:Identify_and_assess_risks]] | ||
Revision as of 22:02, 4 December 2023
Floating interest rates - risk management - repricing risk.
Reset risk is a type of repricing risk.
Repricing risk is the risk of adverse effects resulting from changes in floating interest rates.
Reset risk is the additional risk resulting from a relevant reference rate being observed on a single day - and then incorporated into a longer contractual period.
"There is [ ] no ‘reset risk’ in Risk Free Rates (RFRs) since the interest rate coupon will be reflective of market observations over the entire interest rate period, not just on the reset date."
Pieter Bierkens, former chair of Australia's LIBOR reform working group - The Treasurer, December 2023 Issue 4, p30.
