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What is Interest Rate Risk Management Overview about?

This document provides an overview of interest rate risk management techniques used by banks. It discusses the maturity model, duration model, and repricing model for measuring and managing interest rate risk. The repricing model focuses on analyzing gaps between interest-sensitive assets and liabilities across different time buckets to estimate the impact on net interest income from interest rate changes. The duration model measures interest rate sensitivity by calculating the weighted-average time to matu

Author

Visal Chin

Language

EN