Abstract
A continuous-time deterministic model for analytical simulation of impact of the change in yield curve on bank’s interest income from a fixed rate loans portfolio is presented. It is considered both differential and integral presentations of equations for dynamics of principal and interest cash flows. The model allows taking into account the arbitrary movements in interest rates. Examples of calculation of total (from portfolio) and partial (across maturities) interest cash flows and corresponding interest rates on those cash flows are given. The sensitivity of total interest cash flows is evaluated for some changes in yield curve on loans that obeys the Nelson-Siegel model.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
