Sökning: "IRRBB"

Hittade 4 uppsatser innehållade ordet IRRBB.

  1. 1. Modeling Interest Rate Risk in the Banking Book

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Måns Ulmgren; [2022]
    Nyckelord :applied mathematics; IRRBB; Nelson Siegel; yield curve; tillämpad matematik; IRRBB; Nelson Siegel; avkastningskurva;

    Sammanfattning : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. LÄS MER

  3. 2. Modelling of Non-Maturity Deposits

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Filip Lundgren; [2022]
    Nyckelord :Core Deposits; Deposit Rate; IRRBB; Monte Carlo; Threshold Regression; Simulation;

    Sammanfattning : Ever since the financial crisis in 2008 non-maturity deposits (NMDs) have had a floored deposit rate at zero. Now due to external factors some speculate that the market rate will increase. Regulations say that NMDs core deposits, which are used for further investments, must remove their rate sensitive part. LÄS MER

  4. 3. A Study Evaluating the Liquidity Risk for Non-Maturity Deposits at a Swedish Niche Bank

    Master-uppsats, KTH/Matematisk statistik

    Författare :Markus Hilmersson; [2020]
    Nyckelord :Financial mathematics; time series analysis; risk management; risk analysis; non-maturing deposits; SARIMA; SARIMAX; BCBS; IRRBB; Finansiell matematik; tidsserieanalys; riskhantering; riskanalys; Icke-tidsbunden inlåning; SARIMA; SARIMAX; BCBS; IRRBB;

    Sammanfattning : Since the 2008 financial crisis, the interest for the subject area of modelling non-maturity deposits has been growing quickly. The area has been widely analysed from the perspective of a traditional bank where customers foremost have transactional and salary deposits. However, in recent year the Swedish banking sector has become more digitized. LÄS MER

  5. 4. IRRBB in a Low Interest Rate Environment

    Master-uppsats, KTH/Matematisk statistik

    Författare :Simon Berg; Victor Elfström; [2020]
    Nyckelord :IRRBB; Gap Risk; Basis Risk; Option risk; Interest rate; Yield Curve; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Interest rate risk; IRRBB; Gaprisk; Basrisk; Optionsrisk; Ränta; Avkastningskurva; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Ränterisk;

    Sammanfattning : Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. LÄS MER