Pomiar ryzyka stopy procentowej – metoda luki

Abstract

Proper identification and managing of interest rate risk exposure contributes to improvement of company's financial performance, measured by income stabilization. Thus, effective managing of interest rate risk is in firm best interest. The article outlines the issues of interest rate risk measuring with an application of gap analysis. The interest rate risk is one of the most significant in conducting business activities. It is observed that the scale of the exposure is growing, due to the committed amounts and volatility of market interest rates level. Searching the most effective way for stabilization of the economic process we should consider usage of methods providing possibility for proper assessment - identification, measurement and management of interest rate risk, including it's effect on interest (net) income and market value of the company's capital. The gap analysis provides satisfying precision of interest rate risk exposure measurement and gives information for proper management of the exposure. Hence, the attention is paid to the structure of the method and to the identification of the pros and cons concerning it's usage in financing and investment practice.