Average Duration used for CapReq Interest Rate Risk

suomisuomi
in CIA.Duration

I just noticed the examiner's reports consistently calculate the average of the durations before calculating the interest rate risk margin.

I just use the duration calculated separately and apply it to the corresponding liability, would I lose points for doing it this way?

Comments

  • Staff-T1Staff-T1

    No you wouldn't. It's the exact same thing (algebraically) You can try it out :)

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