Setting Limits: Interest Rate Risk Management
1 min read
Repricing limits Repricing limits are set for interest rate management. […]
Limits: Trading Limits – Duration, Convexity and PVBP Limits
2 mins read
Other Limits Duration Limits Duration measures the sensitivity of the […]
Setting Limits: Value at Risk and Regulatory Approach Limits
3 mins read
Value at Risk Limits The company would need to decide […]
Setting up Treasury Limits: Working with Stop Loss Limits
3 mins read
Capital Loss and Stop Loss – Defining risk appetite? Stop […]
Defining Treasury Limits: Limits Control and Business Processes
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.
Setting Treasury Risk Limits: Defining Risk Appetite, control limits and limit breaches
4 mins read
Treasury Limits and Control process Risk models only have value […]