DURATION GAP ANALYSIS AND STRATEGIES FOR THE INTEREST RISK MANAGEMENT

Georgi Georgiev, Vladislava Georgieva

Abstract


The purpose of this publication is to present to the Bulgarian academic community and bank managers one of the modern approaches to measuring and managing interest rate risk, whose details are jealously guarded by senior banking management and its technology is subject to bank secrecy. The algorithm for calculating of Duration gap analysis is presented in detail using practical examples. In addition, modern banking strategies for interest rate risk management are considered and illustrated.

Keywords


duration gap analysis, bank portfolio immunization, active interest rate strategies, duration, convexity

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References


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