Ch07 - Interest rate risk - the repricing model
Week notes Ch7
1 Exchange Credit
Resource Sample
Interest Rate Risk: The Repricing Model
Overview
This chapter explains how a third model of measuring an
FI's exposure to interest rates, the repricing model, works. We will examine the particular strengths of the model. We will discuss the particular weaknesses of the model. We will gain an understanding of the relative merits of the repricing model for banks, compared to the maturity model and to the duration model.
7-2
A few definitions
Rate sensitivity assets and liabilities: asse...
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