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
Limits: Trading Limits – Duration, Convexity and PVBP Limits
2 mins read Other Limits Duration Limits Duration measures the sensitivity of the price of the product/ value of the portfolio to changes
Setting Limits: Value at Risk and Regulatory Approach Limits
3 mins read Value at Risk Limits The company would need to decide on the level of VaR based on the risk appetite