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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The repricing bucket (gaps)
The first tool used by e-Bank to control its interest rate exposure on the banking book is the repricing bucket (also called ‘repricing gap’ or ‘interest rate sensitivity’ table). The repricing bucket provides information about the time of repricing of all assets and liabilities.
It allows the bank to answer a simple question: if interest rates go up (or down) tomorrow, when will the interest revenue or cost and the net interest margin be affected?
Let us start with the assets booked on the balance sheet at a specific date. If the interest rate level changes tomorrow, at what time in the future will we be able to adjust the interest income on the asset?
| Repricing ... |
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