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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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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