Interest-Rate Risk Sources and Balance-Sheet Effects

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Interest-Rate Risk Sources and Balance-Sheet Effects - Article

This article explains the main sources of Interest Rate Risk in the Banking Book and how changing rates affect a bank’s earnings, margins, asset values, liabilities and capital. It covers gap, yield-curve, basis and option risk, fixed versus floating-rate exposures, behavioural effects and asset-liability sensitivity, helping CAIIB BFM learners interpret practical balance-sheet situations.

14 min read