Interest rate risk model in banking book

Detalhes bibliográficos
Autor(a) principal: Caldeira, Miguel costa
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/72924
Resumo: The aim of this project is to create an interest rate model for Banco CTT’s Banking Book capable to meet the upcoming regulatory requirements as well as internal demands driven by recent portfolio expansion and expectations of future interest rate normalization after a long period marked by a negative interest rate environment. Upon the results obtained, it is clear that Bank’s exposure to interest rate risk is stable and within the limits defined by regulatory authorities. However, veracity of the model should be continuously assessed, and structural balance sheet adjustments should be performed so that interest rate exposure is aligned with its overall low risk appetite.
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spelling Interest rate risk model in banking bookInterest rate risk in banking bookEconomic value of equityEconomic value of equityNet interest incomeDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe aim of this project is to create an interest rate model for Banco CTT’s Banking Book capable to meet the upcoming regulatory requirements as well as internal demands driven by recent portfolio expansion and expectations of future interest rate normalization after a long period marked by a negative interest rate environment. Upon the results obtained, it is clear that Bank’s exposure to interest rate risk is stable and within the limits defined by regulatory authorities. However, veracity of the model should be continuously assessed, and structural balance sheet adjustments should be performed so that interest rate exposure is aligned with its overall low risk appetite.Pereira, João PedroRUNCaldeira, Miguel costa2022-07-30T00:30:56Z2019-01-222019-01-22T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/72924TID:202226190enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:33:52Zoai:run.unl.pt:10362/72924Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:35:17.011521Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Interest rate risk model in banking book
title Interest rate risk model in banking book
spellingShingle Interest rate risk model in banking book
Caldeira, Miguel costa
Interest rate risk in banking book
Economic value of equity
Economic value of equity
Net interest income
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Interest rate risk model in banking book
title_full Interest rate risk model in banking book
title_fullStr Interest rate risk model in banking book
title_full_unstemmed Interest rate risk model in banking book
title_sort Interest rate risk model in banking book
author Caldeira, Miguel costa
author_facet Caldeira, Miguel costa
author_role author
dc.contributor.none.fl_str_mv Pereira, João Pedro
RUN
dc.contributor.author.fl_str_mv Caldeira, Miguel costa
dc.subject.por.fl_str_mv Interest rate risk in banking book
Economic value of equity
Economic value of equity
Net interest income
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Interest rate risk in banking book
Economic value of equity
Economic value of equity
Net interest income
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The aim of this project is to create an interest rate model for Banco CTT’s Banking Book capable to meet the upcoming regulatory requirements as well as internal demands driven by recent portfolio expansion and expectations of future interest rate normalization after a long period marked by a negative interest rate environment. Upon the results obtained, it is clear that Bank’s exposure to interest rate risk is stable and within the limits defined by regulatory authorities. However, veracity of the model should be continuously assessed, and structural balance sheet adjustments should be performed so that interest rate exposure is aligned with its overall low risk appetite.
publishDate 2019
dc.date.none.fl_str_mv 2019-01-22
2019-01-22T00:00:00Z
2022-07-30T00:30:56Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/72924
TID:202226190
url http://hdl.handle.net/10362/72924
identifier_str_mv TID:202226190
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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