BizTerm Definition
Interest risk
Full Definition

The risk that the market value of the bank is exposed to fluctuations in interest rates. This risk is quantified by the interest risk position/mismatch/gap. See also Interest risk. Related reports are: 1. Overall mismatch. 2. Mismatch per book. 3. Mismatch per product. These three reports give information about the mismatch per currency versus limits. Reports can also specify the overall mismatch, mismatch per book, mismatch per product. The mismatch per book and mismatch per product reports are printed per currency per book. Three basic books exist: 1. Forex (forex purchases, sales, forex swaps, currency futures, etc.). 2. Money market -accruals (deposits, loans, FRA and IRS-hedging, etc.). 3. Money market - trading (FRA and IRS-trading). The overall mismatch report combines all three books. The reports are printed per currency. See also Position, position administration tables, standard position codes, combined position code, risk management, foreign exchange risk, forex, open currency position, mismatch, liquidity risk, forward revaluation, interest revaluation, break even and nostro projection.


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