METHODS OF MEASURING INTEREST RATE RISK IN BANKS

Apstrakt

Subject of this text is the measurement of a bank’s exposure to interest rate risk. Bearing in mind that the interest rate risk exposure of the financial position of the bank variable interest rate, acceptance that risk is a normal part of banking and can be an important source of profitability and company value for shareholders. However, excessive interest rate risk can pose a significant threat to earnings and capital base of the bank. There are various models and methods of measuring a bank’s exposure to interest rate risk on the basis of which one can identify the level of interest rate risk exposure of a certain bank, which ultimately serves for the good management of interest rate risk in the bank.