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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 13. The Control of Interest Rate Risk (2): The Simulation Model

In the previous stage, we analysed the impact of a change of interest rate on the net interest margin of e-Bank.

In doing so, we made a series of implicit assumptions that are not always valid. We propose to generalize the approach with the introduction of simulation models.

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