Cost to Close Report – Liquidity Risk
4 mins read A look at an example of Cost to Close Liquidity Gap methodology.
4 mins read A look at an example of Cost to Close Liquidity Gap methodology.
3 mins read A methodology to measure the liquidity risk that a bank is exposed to: the Cost-to-Close Liquidity Gap technique.
2 mins read Duration is a measure of how rapidly the prices of interest sensitive securities change as the rate of interest changes (see application example in the ALM section). For example, if the duration of a security works out to 2 this means that for a 1% increase in interest rates the price of the instrument will decrease by 2%. Similarly, if the interest rates were to decrease by 1% the price of the security would increase by 2%.