BAS Case Study - March 2023
APPENDIX B – YIELD CURVE SHAPES
Institutions should assess a range of alternative future interest rate scenarios in evaluating interest rate risk exposure, including changes in the slope and shape of the yield curve (i.e. yield curve risk).
NOTE: a flattening yield curve typically represents the greatest risk, as liabilities tend to be more correlated to short-term rates, with assets (especially bonds ) more likely to be based on longer-term rates.
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