ANALISIS PENERAPAN PENGELOLAAN RISIKO TINGKAT SUKU BUNGA BANKING DI BANK CIMB NIAGA
This study aims to measure interest rate risk in banking book and its impact to Bank�s net interest income and steps to mitigate the risk. Total interest rate risk is measured from the implementation and result of fund transfer pricing that not only assess business units performance and product ma...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2012
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| Summary: | This study aims to measure interest rate risk in banking book and its impact to
Bank�s net interest income and steps to mitigate the risk. Total interest rate risk is
measured from the implementation and result of fund transfer pricing that not only
assess business units performance and product margin, but also effectively calculates
interest rate risk arise from funding and lending activities.
Research methods used for measuring interest rate risk in banking book is
explanatory method using secondary data analysis. Data assessed are fund transfer
pricing reports, movement of duration and present value of a basis point of products
in Bank�s balance sheet in each quarter of 2009. Present value of a basis point value
explains the sensitivity to Bank�s net interest income for 1 basis point change in
market interest rate.
Research results showed the amount of present value of a basis point in
December 2009 at Rp 1.479 million, and the notional amount to mitigate the interest
rate risk with interest rate swap is Rp 6.8 trillion. |
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