*Tid:* **5 juni 2017 kl 16.00-17.00.**
**Seminarierummet 3721**, Institutionen för
matematik, KTH, Lindstedtsvägen 25, plan 7.
Karta!
*Föredragshållare:*
**
Andre Berglund och Carl Svensson
**
**Titel:**
On the risk relation between economic value of equity and net interest income
**Abstract**
The Basel Committee has proposed a new Pillar 2 regulatory framework for
evaluating the interest rate risk of a bank's banking book appropriately called
Interest Rate Risk in the Banking Book. The framework requires a bank to
use and report two different interest rate risk measures: Economic Value of
Equity (EVE) risk and Net Interest Income (NII) risk. These risk measures
have previously been studied separately but few models have been proposed
to investigate the relationship between them. Based on previous research we
assume that parts of the banking book can be approximated using a portfolio
strategy of rolling bonds and propose a model for relating the connection
between the portfolio maturity structure, EVE risk and NII risk. By simulating
from both single- and multi-factor Vasicek models and measuring risk as
Expected Shortfall we illustrate the resulting risk proles. We also show how
altering certain theoretical assumptions seem to have little effect on these risk
profiles.
The full report (pdf)
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