Durasyon ve konveksite yöntemleri ile bir banka bilançosunun analizi ve faiz riski etkilerinin yönetilmesi
Özet
Nowadays, the interest rate risk in balance sheets of financial and non-financial firms is one of the most important factors which influence the profitability. One of the most employed techniques to measure the interest rate risk is duration and convexity analyses. After then, this measured risk is shaped according to the expectations.In this study, we have shown the usages of duration and convexity analyses to measure the interest rate risk in an example bank?s balance sheet. To do so, the duration and convexity gaps are calculated to determine the interest rate risk in the balance sheet, then this risk is tried to eliminate by the help of one of the derivative agreements, the swap agreements. In other words, we have tried to achieve the immunization against the interest rate risk.