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1 - 10 van 10 voor sensitivity analysis
20100608114036__risk2009.pdf
... rate risk is measured and monitored by using duration, repricing gap analysis, earning at risk and economic value sensitivity measures. standard stress tests form a basis for the quantification ... contracts that do not allow for prepayments or require prepayment penalties. interest rate sensitivity analysis is also used for evaluating hedging strategies, internal limit setting and limit monitoring ...
garantibank.nl
20100609140407 GBI AnnualReport2009 pdf
... in line with the alco's directives. the department uses var, duration, gap and sensitivity analysis reports to assess the bank's interest rate, liquidity and foreign exchange risks. ... uses duration, gap and sensitivity analyses for the quantification of interest rate risk. sensitivity analyses are based on both economic value and earnings perspectives. interest sensitivity is measured by applying ...
garantibank.nl
ar2007.pdf
... sensitivity analysis for the quantification of interest rate risk. sensitivity analyses are based on both economic value and earnings perspectives. interest sensitivity ... bank monitors liquidity risk through gap analysis, which are supplemented by scenario analysis. these analyses allow applyingshockswithdifferentmagnitudesontheliquiditypositionofthebank.scenariosaredrivenbasedonbank- ...
garantibank.nl
risk2008.pdf
... duration, gap and sensitivity analysis for quantification and monitoring of interest rate risk. sensitivity analyses are based on both economic value and earnings perspectives. interest sensitivity is measured by ... sensitivity measures. standard stress tests form a basis for quantification of interest rate risk in the banking book for basel ii, pillar ii. 17 interest rate sensitivity analysis ...
garantibank.nl
20110623132908__risk2010v2.pdf
... is measured and monitored by using duration, re-pricing gap analysis, earning at risk and economic value sensitivity measures. standard regulatory stress tests form a basis for the ... contracts that do not allow for prepayments or require prepayment penalties. interest rate sensitivity analysis is also used for evaluating hedging strategies, internal limit setting and limits monitoring purposes ...
garantibank.nl
20110527161500__GBI Annual Report 2010.pdf
... resources and its balance sheet risks. the unit uses var, duration; gap and sensitivity analysis reports prepared regularly by risk management division to measure and monitor the balance ... duration, gap and sensitivity analyses for the quantification of interest rate risk. sensitivity analyses are based on both economic value and earnings perspectives. interest sensitivity is measured by applying ...
garantibank.nl
20120427164248__GBI Annual Report 2011.pdf
... is an increase of 14 percent compared to 2010. report of the managing board financial analysis in 2011, the operating result before tax and value adjustments amounted to eur 70.6 ... management of the bank's resources and its balance sheet risks. var, duration, gap and sensitivity analysis reports that are prepared regularly by risk management department are used for measuring and monitoring ...
garantibank.nl
UGBI jaarversl. 2000 binnenw.
... ugbi bank utilizes various monitoring and measure- ment methods such as interest gap analysis and scenario analysis. interest rate sensitivity tests are applied to estimate the impact of market rate move- ments on ... interest revenue. one of the objectives of the alco is to manage and monitor the sensitivity of net interest revenue to interest rate movements in the markets. market risk management ...
garantibank.nl
ar2006.pdf
... risks in an efficient and effective manner.the division's capacity to conduct accurate analysis and strong guidance on global economic conditions,interest rate outlook,currency trends and generalmarketrisks, ... by thetreasury division in line with the policies and limits set by alco. interest rate sensitivity and earnings at risk analyses are used for quantification and monitoring of the interest ...
garantibank.nl
ar2008.pdf
... duration,gap and sensitivity analyses for the quantification of interest rate risk. sensitivity analyses are based on both economic value and earnings perspectives. interest sensitivity is measured by applying ... fund providers, geographic markets and currencies. the bank monitors liquidity risk through gap analysis, which is supplemented by stress tests designed based on different scenarios. these ...
garantibank.nl
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