Lecture Financial markets and institutions: Chapter 22 - Anthony Saunders, Marcia Millon Cornett
Lecture Financial markets and institutions: Chapter 22 - Anthony Saunders, Marcia Millon Cornett
Chapter 22 - Managing interest rate risk and insolvency risk on the balance sheet. This chapter provided an in-depth look at the measurement and on-balance-sheet management of interest rate and insolvency risks. The chapter first introduced two methods to measure an FI's interest rate gap and thus its risk exposure: the repricing model and the duration model.