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Special Report on

Duration Gap for Financial Institutions

duration gap for financial institutions special research report Photo by
Bob Eisenbeis is Cumberland’s Chief Monetary Economist. Prior to joining Cumberland Advisors he was the Executive Vice President and Director of Research at the Federal Reserve Bank of Atlanta. Bob is presently a member of the U.S. Shadow Financial Regulatory Committee and the Financial Economist Roundtable. His bio is found at David R. Kotok is the Chief Investment Officer of Cumberland Advisors. ~~~~ Abstract: Our joint commentary identifies two risk measures—capital ratios and duration—which may be helpful in assessing outcomes of the Fed’s exit strategy. We have avoided a fully prepared technical paper and ...
Cool heads needed as the heat goes on | VIETNAM IMPORT EXPORT NEWS ...
The State Bank might have done a good job in its monetary manoeuvring in the first half of 2010. But, what about the rest of the year? Dr Nguyen Kim Thanh, director of the central bank’s Banking Strategy Institute explains why it is still “a jungle out there”. Macro economic stability, economic expansion and tamed inflation are three targets that Vietnam’s monetary policy must pursue at the same time to meet the National Assembly’s socio-economic targets set for 2010. This is a tough mission as those targets could drag each other down. Normally, monetary policies aimed at bolstering the gross domestic product (GDP) ... market research, surveys and trends
Duration Gap « InvestmentWatch
You deposit money in a bank right? Do you happen to know the duration gap of the bank assets and liabilities. Is it positive? How positive is it? Will an increase in interest rates wipe out their asset base? What is the overall duration gap of the asset-liabilities held by US banks? If it is true that defaults reduce M3 and M3 is in fact declining will interest rates go up as money becomes scarcer? Did you know that we are starting to see less appetite for the 30 year T bond. Seems like investors are ever so gradually shying away from it because they do not want to get trapped in a long position if interest rates go up. In other ... market research, surveys and trends


The second case uses a more realistic assumption of N equal to three percent. ... 5 million. Total Liabilities and Stockholder's Equity. $42 million .... “ Duration Gap for Financial Institutions,” Financial Analysts Journal 41, ... industry trends, business articles and survey research
Project-specific financing and interest rate risk in capital ...
A growing number of writers have acknowledged the importance of Macaulay (13) duration as a useful tool for capital budgeting purposes (2, 4, 5, 6, 8, 9, 10, 12). In capital investment, the duration of a project is a measure of the timing of cash flows that augments the more familiar profitability measures, providing additional information that may help the analyst choose between mutually exclusive alternatives (see Durand (9)). In a recent Journal of Business article, Cornell (8) explores the relationship between a capital investment's systematic risk and its duration. Intuitively, the longer the duration of a ... industry trends, business articles and survey research
Obama's stop-gap reforms
In mid-2006 the global financial crisis began in inauspicious circumstances when a US shadow bank called Merit Financial went bankrupt. An investigation revealed the unorthodox lending practices that would come to characterise the crash. Merit was founded in 2001 by the former Washington Huskies football star Scott Greenlaw, then 29. It specialised in lending to clients with a bad credit history. Within five years it had written more than $US2 billion ($2.3 billion) of mortgages and employed 400 people. According to The Seattle Times , Greenlaw employed loan officers in his own image. Many were former footballers; one was a ... market trends, news research and surveys resources
Obama Brings Fresh Momentum on Bank Standards to G-20
June 26 (Bloomberg) -- President Barack Obama enters the Group of 20 summit today with added momentum for his push to increase bank capital standards: congressional action overhauling U.S. financial regulations. Obama arrived in Canada yesterday, the same day U.S. lawmakers agreed on a compromise package of rules that would toughen capital standards for U.S. financial companies. The deal strengthens Obama’s hand as G-20 leaders meet in Toronto this afternoon following a gathering of the Group of Eight in Huntsville, Ontario, that will wrap up today. “The progress that the U.S. has made will be important in driving ... market trends, news research and surveys resources


It is important to recognize that income and duration gap analysis applies equally to other financial institutions. Furthermore, it is important for you to ... technology research, surveys study and trend statistics
Bank Trends
institution's liability sensitivity and duration gap. Currently, more than 80 percent of the volatile .... at some financial institutions is the pending ... technology research, surveys study and trend statistics
Chapter 2 Graph Update File
Duration Gap: this is the balance sheet view. How will interest rate .... The fact is that most banks (of financial intermediaries) will have, ...
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How to set Gap Limits for Asset Liability Management? | LinkedIn ...
How does one go about setting Gap Limits for each time bucket? I refer to a simple (Asset - Liability) gap for a particular time bucket and not Static or Duration Gaps. What analysis of the historical data or past trends should be carried out? What best practices are usually adopted by banks and investment houses in this regard? posted November 19, 2008 in Risk Management | Closed Share This General Manager at Web Industries; Itinerant Writer; and Decent Little League Coach see all my answers Arindam, I have never heard of this terminology. Perhaps you could explain it further. Josh. posted November 19, 2008 Strategy Consultant ...
Milton Friedman on monopolies?
He pushed for freedom from state interference and "unnatural" monopolies, like labor unions. But corporate monopolies were encouraged by him in order to create economies of scale and power. They needed to get richer. Milton Friedman’s legacy of free market madness The evil that men do lives after them. Such is the legacy of the economist Milton Friedman, who died last week at the age of 94. If you are to believe the paid apologists of capitalism – whether of the conservative, liberal or New Labour variety – Friedman was a great man. The Guardian’s obituary described him as “one of the greatest economists of all time, ...