Simulation, Repricing and Derivative-Hedging Strategies

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Simulation, Repricing and Derivative-Hedging Strategies - Article

This article explains how banks control Interest Rate Risk through simulation, balance-sheet repricing and derivative hedging. It covers static and dynamic simulations, rate scenarios, asset and liability restructuring, fixed/floating-rate choices, interest-rate swaps, FRAs, futures and options, hedge limitations and practical ALCO case studies linking NII and economic-value exposure.

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