Hasan, Iftekhar; Sarkar, Sudipto - Suomen Pankki - 2002
Interest rate risk is a major concern for banks because of the nominal nature of their assets and the asset …-liability maturity mismatch. This paper proposes a new way to derive a bank’s interest rate sensitivity, by examining separately the … effects of interest rate changes on existing loans (loans-in-place) and potential loans (loans-in-process). A potential loan …