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- W2384563036 abstract "The fluctuation of interest rate will bring interest rate risk to financial institutions: repricing risk and market value change risk.The traditional asset-liability management method,gap management,can solve the former problem,but have no way to handle the latter.Hence,duration model was widely canonized and practiced by the theoretical and industrial circles.Duration model gives full consideration to the time-related cash flow problem and the influence of interest rate change on the benefit and loss of income and capital and therefore interest immunization is realized.In fact,the model for monitoring bank interest rate risk proposed(in 2001) by the Bank of International Settle is based on the duration model.Critics of the duration model often claim that it is difficult to apply in real situations and put forward a lot of criticism and suggestions.This paper analyzes the criticism of the duration model and discusses solutions to the problem." @default.
- W2384563036 created "2016-06-24" @default.
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- W2384563036 date "2006-01-01" @default.
- W2384563036 modified "2023-09-26" @default.
- W2384563036 title "An Analysis of Some Problems in Managing Interest Rate Risk with Duration Model" @default.
- W2384563036 hasPublicationYear "2006" @default.
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