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Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition by Youssef F. Bissada, Jean Dermine

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Stage 12. The Control of Interest Rate Risk (1): The Repricing Gaps

In Stage 5, we discussed transfer prices and the calculation of interest margins on deposits and loans. We mentioned that a problem could arise if the maturities of assets and deposits are not matched. As interest rate fluctuations could affect the net interest margin of e-Bank, you need to understand how to measure and manage interest rate risk.

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