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Interest rate risk and backtesting

 
 
kjmed
 
Reply Wed 3 Dec, 2014 08:44 am
I need your help to find out how can i calculate the Earning at Risk (for a bank) and make its backtesting
Thanks
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Type: Question • Score: 0 • Views: 7,027 • Replies: 2
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Lordyaswas
 
  1  
Reply Wed 3 Dec, 2014 10:06 am
@kjmed,
Do you mean legally?

Or how the Banks usually do it?
kjmed
 
  1  
Reply Mon 29 Dec, 2014 04:44 am
@Lordyaswas,
how usually the banks do it, the easiest way to control the interest rate risk in practice and to make its backtesting. Thanks
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