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은행계정의 금리리스크

  • : 한국은행
  • : 한국은행
  • : 한국은행 기타자료  2018권 10호
  • : 2018
  • : pp.1-135(총 135페이지)

한국은행

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목차

    요약 ······································································································· 1
    제 I 장 IRRBB 소개 ········································································ 4
    1. IRRBB의 정의 ·············································································· 4
    2. 은행계정의 신용 스프레드 리스크(CSRBB) ··············· 5
    3. 경제적 가치 측정법과 수익기반 측정법 ······················ 5
    제 II 장 개정된 금리리스크 관리 및 감독 원칙 ············· 6
    1. 은행에 적용되는 원칙 ···························································· 6
    2. 감독당국을 위한 원칙 ··························································· 29
    제 Ⅲ 장 적용 범위와 이행 일정 ··········································· 35
    제 Ⅳ 장 표준방식 ········································································· 36
    1. 표준방식의 전반적 구조 ······················································ 36
    2. 표준방식의 구성 요소 ··························································· 37
    3. NMD 처리방법 ·········································································· 41
    4. NMD 외 행동옵션이 포함된 포지션의 처리 ············ 42
    5. 자동금리옵션 ············································································· 46
    6. 표준방식에 의한 EVE 측정값 산출 ································ 48
    <부록 1> 금리리스크와 측정 방법 ···································· 50
    <부록 2> 표준 금리 충격 시나리오 ·································· 70

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