March 2002
Intermediate to advanced
176 pages
3h 48m
English
book
Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
by Jean Dermine, Youssef F. Bissada
Content preview from Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
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Solution to Stage Thirteen
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If you compare these results to the answers given in Stage 12, you realize that the elasticity of interest rates to a change in interbank rate can have a significant impact on the evaluation of the interest rate exposure. ALM is an art as it relies not only on mathematics but also on relevant assumptions. |
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