Stress testing interest rate risk exposure

2014 ◽  
Vol 49 ◽  
pp. 287-301 ◽  
Author(s):  
Azamat Abdymomunov ◽  
Jeffrey Gerlach
Keyword(s):  
Interest Rate ◽  
Stress Testing ◽  
Interest Rate Risk ◽  
Risk Exposure ◽  
Rate Risk

scholarly journals Embedded Options Impact On Interest Rate Risk And Capital Adequacy

2011 ◽  
Vol 15 (4) ◽  
pp. 11
Author(s):  
Robert Brooks ◽  
Benton E. Gup
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Interest Rate Risk ◽  
Capital Adequacy ◽  
Risk Exposure ◽  
Rate Risk ◽  
Embedded Options

<span>In this article we consider cases in which a bank finances some option-embedded assets with option embedded liabilities and with equity. We show that risk-based capital guidelines that do not account for these interest sensitive options can be very misleading with regard to the actual interest rate exposure. In extreme cases, any change in interest rates can result in a deterioration in the value of such unhedged positions even though there may be no risk-exposure as measured by traditional means.</span>

scholarly journals Effect of operational and market risk exposures on financial performance of DT-Saccos in Kenya

2021 ◽  
Vol 10 (5) ◽  
pp. 107-118
Author(s):  
Sisimonda Kinya Mwanja
Keyword(s):  
Interest Rate ◽  
Financial Performance ◽  
Foreign Exchange ◽  
Market Risk ◽  
Interest Rate Risk ◽  
Risk Exposure ◽  
Operating Efficiency ◽  
Operating Expense ◽  
Rate Risk ◽  
Exchange Risk

The main aim of the investigation was to analyze the effect of operational and market risk exposures on the financial performance of DT-SACCOs in Kenya. The specific objectives of the study were to; assess the effect of operating expense risk exposure on the financial performance of DT-SACCOs in Kenya; To establish the effect of operation efficiency risk exposure on the financial performance of DT-SACCOs in Kenya; Effect of interest rate risk exposure on the financial performance of DT-SACCOs in Kenya; Effect of foreign exchange rate risk exposure on the financial performance of DT-SACCOs in Kenya. Effect of operational and market risk exposure on the financial performance of DT-SACCOs in Kenya. The study used panel data between the years 2010-2019 which was 10 years period. The results revealed that at both bivariate and multivariate regression operating expense risk, operating efficiency and foreign exchange risk exposure had a significant effect on the financial performance of DT-SACCOs in Kenya. Only interest rate risk exposure did not have a significant effect on the financial performance of DT-SACCOs in Kenya.

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