BFM: Concepts and Practice · Part D: Balance Sheet Management

Chapter 22: Interest rate risk and RAROC

Measuring what rate moves do to income and value, and pricing every loan for the risk and capital it uses.

Open Chapter 22 in the e-book The book and its prices

Buyers of the e-book, or of the print copy, which includes it, read the whole chapter. Everyone can read the free sample, pages 1 to 24 of the e-book.

In this chapter

22.1Rate risk in the banking bookp. 315
22.2The earnings viewp. 316
22.3Duration and the value viewp. 317
22.4IRRBB rules and limitsp. 318
22.5RAROCp. 319
Exam traps and quick checksp. 320
Practice: 16 questions in three roundsp. 321
Answers, with every wrong option explainedp. 323
Make it stickp. 325
Chapter 22 on one pagep. 326

Corrections and updates

None for this chapter so far. Every correction to the book, and any rule that changes after its date, is listed on the errata page.