- 1. Introduction
- 2. Model
- 2.1 Definition of interest rate risk
- 2.2 The Basel Committee's approach
- 2.3 Generalization of the Basel Committee's approach
- 3. Data
- 4. Interest rate risk according to the Basel Committee and reference scenario
- 5. Sensitivity of the results to different assumptions
- 5.1 Distribution of maturities within the time bands
- 5.2 Number and boundaries of the time bands
- 5.3 Amortization payments
- 5.4 Coupon payments
- 6. Concluding remarks
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