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Interest Rate Risk

Generally, it is the risk that arises from changes in interest rate which impact the value of interest-bearing securities/ investments...

    LIBOR

    It is an acronym for London Interbank Offered Rate. It is an interbank rate which is used as a benchmark or...

      LIBOR01

      An interest rate risk measure that captures sensitivity to changes in the interest rate yield curve (e.g. the LIBOR curve). It...

        IR01

        An interest rate risk measure that captures sensitivity to changes in the interest rate yield curve (e.g. the LIBOR curve). It...

          Duration Gap

          A measure of the mismatch between assets and liabilities. By definition, it is the weighted duration of assets minus the product of the...