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Publicação
A gestão de ativos e passivos num Banco Central Nacional : duração e imunização do balanço
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Orientador(es)
Resumo(s)
A volatilidade das taxas de juro tem consequências diretas no valor dos cash‐flows presente e futuros.
Desta forma, as Instituições bancárias estão particularmente expostas ao risco de taxa de juro.
O objectivo do presente trabalho consiste em analisar as rubricas que compõem o Balanço de um
Banco Central Nacional e consequentemente identificar os gaps existentes entre o activo e o passivo.
Após a identificação desses mesmos gaps é estudado um modelo de imunização do Balanço de forma
a corrigir os gaps apresentados.
The volatility of interest rates there are direct consequences on the value of present and future cash flows. In this way, banking institutions are particularly exposed to interest rate risk. The objective of this work is to analyze the items that make up the National Central Bank Balance sheet and, consequently, to identify the gaps between the assets and the liabilities. After identification of these gaps, the immunization of the Balance sheet was studied in order to correct the presented gaps.
The volatility of interest rates there are direct consequences on the value of present and future cash flows. In this way, banking institutions are particularly exposed to interest rate risk. The objective of this work is to analyze the items that make up the National Central Bank Balance sheet and, consequently, to identify the gaps between the assets and the liabilities. After identification of these gaps, the immunization of the Balance sheet was studied in order to correct the presented gaps.
Descrição
Project Work presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Ativos Balanço Duração Passivos Taxa de juro Assets Balance sheet Duration Interest rate Liabilities