Managing Interest Rate Risk
78 Pages Posted: 26 Mar 2011 Last revised: 12 Nov 2019
Date Written: March 20, 2011
This is a Power Point presentation made to Banca d'Italia (Central Bank of Italy) workshop on Interest Rate Risk Management held on March 21, 2011, attended by more than 70 bankers from Europe. The topics include, i) threat of inflation, ii) multifactor models for managing interest rate risk, iii) interest rate risk of non-maturity deposit accounts, iv) a general framework for interest rate risk of derivatives, and v) what term structure models to use (fundamental, single-plus, double-plus, or triple-plus) for interest rate risk analysis?
Keywords: Interest Rate Risk, Duration, Convexity, Demand Deposits, Term Structure
JEL Classification: G11, G12, G13
Suggested Citation: Suggested Citation