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 This post presents a working example of Macaulay & Modified duration calculations. Earlier we had considered the importance of the Duration
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%.
< 1 min read The treasury operations and products course is a mix of core topics and four separate applications. Three of the applications
10 mins read The next monetary policy announcement is due in the last week of May 2010. We attempt to forecast the cut