Setting Limits: Interest Rate Risk Management
< 1 min read Repricing limits Repricing limits are set for interest rate management. These limits control exposure by controlling the volume or amount
< 1 min read Repricing limits Repricing limits are set for interest rate management. These limits control exposure by controlling the volume or amount
2 mins read Other Limits Duration Limits Duration measures the sensitivity of the price of the product/ value of the portfolio to changes
3 mins read Value at Risk Limits The company would need to decide on the level of VaR based on the risk appetite
3 mins read Capital Loss and Stop Loss – Defining risk appetite? Stop loss limits Stop loss limits act as a safety valve
2 mins read For control and governance purposes the Treasury limit management function is kept under a separate group called the Middle Office with its own independent reporting line. The Middle Office function tracks and reviews treasury exposures on a day to day basis and technically in collaboration with the business users is expected to review limits whenever a change in market conditions requires it.
4 mins read Treasury Limits and Control process Risk models only have value if they are used effectively in combination with limit management