Liquidity Risk – Cost to Close Liquidity Gap
3 mins read A methodology to measure the liquidity risk that a bank is exposed to: the Cost-to-Close Liquidity Gap technique.
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%.
4 mins read ALM reports – a short review A quick review of a number of Asset Liability Management (ALM) reports used by