Time bins: Difference between revisions
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imported>Doug Williamson (Expand.) |
imported>Doug Williamson (Update.) |
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''Risk management''. | ''Risk management''. | ||
Intervals of time to repricing. | Intervals of time to repricing or final maturity. | ||
In determining the risk associated with holding financial assets/liabilities it is necessary to determine the proportion of the total investment whose return/cost can be repriced at specific time intervals. | In determining the interest rate risk associated with holding financial assets/liabilities it is necessary to determine the proportion of the total investment whose return/cost can be repriced at specific time intervals. | ||
Thus a floating rate instrument whose rate is reset every 6 months will be in the 6-month time bin. | Thus a floating rate instrument whose rate is reset every 6 months will be in the 6-month time bin. | ||
In relation to liquidity risk, the final maturity is relevant. | |||
Revision as of 12:59, 13 August 2016
Risk management.
Intervals of time to repricing or final maturity.
In determining the interest rate risk associated with holding financial assets/liabilities it is necessary to determine the proportion of the total investment whose return/cost can be repriced at specific time intervals.
Thus a floating rate instrument whose rate is reset every 6 months will be in the 6-month time bin.
In relation to liquidity risk, the final maturity is relevant.
Time bins are also known as time buckets.
