Examinando por Materia "Libro bancario"

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    Gestión del riesgo de tasa de interés en el libro bancario en una compañía de financiamiento comercial colombiana
    (Universidad EAFIT, 2021) Yepes Quintero, Diana Patricia; Rojas Ormaza, Brayan Ricardo
    The interest rate risk in the banking book in a CFC arises mainly due to the mismatch in the repricing between active and passive rates, which implies a risk for the entity's earnings. Due to the foregoing, in this research work it was analyzed the exposure to this type of risk in a CFC applying the methodologies of the repricing gap, the duration gap and the WATM gap, which yielded an approximation of the sensitivity of the net interest margin and the economic value of equity to an estimated change on interest rates for a period of one year. These results will allow the CFC to propose strategies that help mitigate and manage this type of risk on its balance sheet and take advantage of future expectations of rate behavior.