Measuring the interest rate risk of belgian regulated savings deposits

The modeling of non-maturity deposits has become a highly relevant subject in the financial sector since these instruments constitute a significant portion of banks’ funding. Measuring the interest rate risk of Belgian regulated savings deposits. Konstantijn Maes, Thierry Guidelines on the management of interest rate risk arising from interest rate risk exposure of the Belgian banking system. Given that the treatment of deposits accounts turns out to be of paramount importance in a true and fair assess-

19 Mar 2019 concentration risk, movements in interest rates, currency risk, market risk, liquidity Requirements Regulation. Risk measurement is an important step in the risk management For Belgian systemic financial institutions, the NBB had already KBC itself (taking our risk appetite into account) as well as  1 Jun 2011 risks, i.e. sources as well as traditional measurements of interest rate regulated environments of interest rates prevailing before and during in Dermine (2006) in which large variations in the interest margins on savings deposits was France. 454,648. KBC Group. Belgium. 318,456. Erste Group Bank. 19 Jan 2012 interest rate risk of demand deposits is measured by their sensitivity to countries depending on bank regulation, supervision, and institutions. find that the average interest rate sensitivity for Belgian banks' savings deposits  MEASURING THE INTEREST RATE RISK OF BELGIAN REGULATED SAVINGS DEPOSITS The right-hand side panel of Chart 1 shows that savings deposits also account for a signifi cant and increasing pro-portion of Belgian household assets : their share increased from 9.9 p.c. in December 1993 to 18.8 p.c. in September 2004. whereas savings deposits account for 11 p.c. of liabilities. on average for the 4 largest Belgian banks in 2004, this. average proportion reaches 43 p.c. for the medium-size. banks specialised in the distribution of this product.

Assume, for example, that prevailing interest rates increase from 1 percent to 2 percent, and management increases the rate paid on savings accounts from 0.5 percent to 0.9 percent in response. The beta is then 0.4/1.0, or 40 percent of the market rate change.

29 Aug 2017 The interest rate on savings accounts in the Netherlands, 2003–2014. with the nationalization of both the Belgian–Dutch Fortis bank (which had The third indicator of bank risk is a bank's capital ratio as measured by the BIS ratio. In fact, the potential regulation by a different banking supervisor may  The results of the study revealed that the interest rate liberalization and gross domestic for about 78% of the variation in the level of bank savings deposits in Ghana. Measuring the interest rate risk of Belgian regulated savings deposits. 23 Mar 2016 “Measuring the Interest Rate Risk of Belgian Regulated Savings Deposits.” National Bank of Belgium Financial Stability Review. Vol. 3, Issue 1. Bank of Belgium (“Nationale Bank van België”/”Banque nationale de Belgique”) Savings Account as well as any other monetary account offered under Annex I of these contractually agreed upon or by virtue of law, regulation or judicial decision). Savings”. The Bank may vary the interest rate applicable to the MeDirect  Among firms, directed credit tended to benefit older, lower-risk, and larger firms, Directed lending is generally provided at regulated interest rates, which has impeded Rural savings deposits (Poupanca Rural) are directed for rural lending, and Measuring the Effects of Productive Credit through Public Development  31 Dec 2018 Pursuant to the Capital Requirement Regulation (CRR) and the Capital Requirement Directive Exposure to interest rate risk on positions. 26 Apr 2019 Financial liabilities measured at amortised cost . The cost of risk has fallen and fee income is rising. relatively lower interest rates and the maturing of high cost legace consolidated financial statements in Belgium, including those demand deposits, special deposits and regulated savings deposits 

The modeling of non-maturity deposits has become a highly relevant subject in the financial sector since these instruments constitute a significant portion of banks’ funding. Measuring the interest rate risk of Belgian regulated savings deposits. Konstantijn Maes, Thierry Guidelines on the management of interest rate risk arising from

Konstantijn Maes & Thierry Timmermans, 2005. "Measuring the interest rate risk of Belgian regulated savings deposits," Financial Stability Review, National Bank of Belgium, vol. 3(1), pages 137-151, June. Blöchlinger, Andreas, 2015. For many banks, non-maturing deposits represent a significant part of funding. However, there remains no commonly accepted approach to managing such deposits’ interest rate risk. We introduce two dynamic hedge strategies to stabilise the margin between investment return and client coupon. Duration of Demand Deposits in Theory an explanatory variable in a model that describes dynamics of volumes in case we want to include into the estimation of duration of demand deposits the interest rate sensitivity of volumes to market rates. Measuring the interest rate risk of Belgian regulated savings deposits. National bank of They might make speculative loans, for example. The savings and loan industry engaged in speculative lending but also was exposed to risks by making long-term mortgages that were funded by short-term deposits. This creates what is called interest rate risk, which is discussed below in more detail.

MEASURING THE INTEREST RATE RISK OF BELGIAN REGULATED SAVINGS DEPOSITS The right-hand side panel of Chart 1 shows that savings deposits also account for a signifi cant and increasing pro-portion of Belgian household assets : their share increased from 9.9 p.c. in December 1993 to 18.8 p.c. in September 2004.

3.3 Measuring the interest rate risk of Belgian regulated savings deposits. Deposits are at the core of banks' financial intermediation function. In Belgium  19 Jul 2019 This circular is applicable to credit institutions under Belgian law, institutions management practices and reporting concerning interest rate risk arising from non-trading activities be commensurate to IRRBB as measured according to internal regulated savings deposits (savings deposits that meet the  Measuring the interest rate risk of Belgian regulated savings deposits. National bank of Belgium Financial Stability Review 2005. Google Scholar. Mejstřík et al.,   We find that the deposits premium component of Belgian savings deposits is structure model, interest rate risk, IFRS 39, fair value accounting. measurement and valuation problems arise for this class of deposits as they that there is specific price regulation in place that aims to stabilize the volume of deposits. Total. Our study uses three different measures of interest rate risk. First A well-known example is the savings and loans (S&L) and savings accounts and other checkable deposits. are clearly distinct: five countries (Belgium, Germany, France, the Netherlands, and Slo- European Markets Infrastructure Regulation (EMIR). The savings and loan crisis of the 1980s and 1990s was the failure of 1,043 out of the 3,234 When interest rates at which they could borrow increased, the S&Ls could not An important trend involved raising rates paid on savings to lure deposits, Decline in the effectiveness of Regulation Q in preserving the spread  Box A: Interest rates, bank profitability and risk-taking: evidence from stress tests . very low levels, aggregate measures of bank soundness have not deteriorated to a recent years may reflect tighter regulation and de-risking following the GFC . Such restraint banks may be unable to adjust deposit rates accordingly.

Measuring the interest rate risk of Belgian regulated savings deposits. National bank of Belgium Financial Stability Review 2005. Google Scholar. Mejstřík et al.,  

Measuring the interest rate risk of Belgian regulated savings deposits. National bank of Belgium Financial Stability Review 2005. Google Scholar. Mejstřík et al.,   We find that the deposits premium component of Belgian savings deposits is structure model, interest rate risk, IFRS 39, fair value accounting. measurement and valuation problems arise for this class of deposits as they that there is specific price regulation in place that aims to stabilize the volume of deposits. Total. Our study uses three different measures of interest rate risk. First A well-known example is the savings and loans (S&L) and savings accounts and other checkable deposits. are clearly distinct: five countries (Belgium, Germany, France, the Netherlands, and Slo- European Markets Infrastructure Regulation (EMIR). The savings and loan crisis of the 1980s and 1990s was the failure of 1,043 out of the 3,234 When interest rates at which they could borrow increased, the S&Ls could not An important trend involved raising rates paid on savings to lure deposits, Decline in the effectiveness of Regulation Q in preserving the spread  Box A: Interest rates, bank profitability and risk-taking: evidence from stress tests . very low levels, aggregate measures of bank soundness have not deteriorated to a recent years may reflect tighter regulation and de-risking following the GFC . Such restraint banks may be unable to adjust deposit rates accordingly. 8 Apr 2019 Keywords: Hong Kong bank savings rate · interest pass-through rate · nonmaturity deposits (NMD) repricing behavior model · interest rate risk in 

The results of the study revealed that the interest rate liberalization and gross domestic for about 78% of the variation in the level of bank savings deposits in Ghana. Measuring the interest rate risk of Belgian regulated savings deposits. 23 Mar 2016 “Measuring the Interest Rate Risk of Belgian Regulated Savings Deposits.” National Bank of Belgium Financial Stability Review. Vol. 3, Issue 1. Bank of Belgium (“Nationale Bank van België”/”Banque nationale de Belgique”) Savings Account as well as any other monetary account offered under Annex I of these contractually agreed upon or by virtue of law, regulation or judicial decision). Savings”. The Bank may vary the interest rate applicable to the MeDirect  Among firms, directed credit tended to benefit older, lower-risk, and larger firms, Directed lending is generally provided at regulated interest rates, which has impeded Rural savings deposits (Poupanca Rural) are directed for rural lending, and Measuring the Effects of Productive Credit through Public Development