+Component Method Focus
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Component Method Focus
| Gap analysis | The volume of mismatches in different time bands. |
Gap risk | Basis risk | Partial duration for yield curve risk Inventory of instrument groups based on different interest rates Inventory of all instruments | The dispersion and concentration of mismatches in different time bands. Use of derivatives and other hedging instruments in terms of different bases, convexity and timing difference neglected by gap analysis. Behavioural options: The volume of mortgages, current accounts, savings and deposits where the customer has the option to deviate from the contractual maturity; the volume of commitments with | | Option risk (automatic and behavioural options) | with embedded or explicit options | interest rate sensitive customer drawings. Automatic interest rate options: Caps and floors embedded in assets and liabilities; swaptions or prepayment options embedded in wholesale assets |
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- EBA -
EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.
DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.
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