Modelización de la tasa de interés para la evaluación del riesgo de tasa de interés mediante modelos de Valor a Riesgo (VaR): Documentos de trabajo (serie original)| 1999 | N 9

Elena Grubisic; Guillermo Escudé

Interest rate modeling for interest rate risk assessment using Value at Risk (VaR) models

Working papers | 1999 | N 9

Authors

Elena Grubisic
Guillermo Escudé Banco Central de la República Argentina

Keywords:

Rate risk, Modeling

Abstract

Interest rate risk (RTI) is the risk that changes in the interest rate may negatively affect the economic situation of a financial institution. Banks are exposed to RTI whenever there is a mismatch between the average term of assets and that of liabilities.

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Published

1999-07-01

How to Cite

Grubisic, E., & Escudé, G. (1999). Interest rate modeling for interest rate risk assessment using Value at Risk (VaR) models: Working papers | 1999 | N 9. Working papers. retrieved from https://bcra.ojs.theke.io/documentos_de_trabajo/article/view/436