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The Evaluation of interest rate risk, some warnings about the Basle proposal

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The Basle Committe on Banking Supervision and the Federal reserve have published recently papers on the measurement of bank's exposure to interest rate risk. The purpose of the paper is to warn that these proposals address one source of interest rate risk only. Senior bank managers and board of directors must design multiple (vector-type) indicators to capture the various sources of interest rate risk

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application/pdf

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http://flora.insead.edu/fichiersti_wp/inseadwp1993/93-40.pdf