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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Limits to the use of repricing gaps
To analyse the impact of a change of interest rate on the net interest margin, we need two pieces of information: the gap and the relevant change of interest rate.
The gap indicates whether there is a net asset position to reprice, or whether there is a net debt position to reprice.
Gap = (repriced assets) – (repriced liabilities) over a specific period of time
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| A positive gap indicates an excess of short-term assets to reprice. |
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| A negative gap indicates an excess of short-term liabilities to reprice. |
To measure ...
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