Gestione del rischio legato ai tassi di interesse nelle istituzioni finanziarie: Income Gap e Duration Gap analysis

Financial institutions must bear some risks in order to survive and prosper and when money is involved there is normally a trade-off between the risk taken and the expected return. Each institution operates under the uncertainty of upcoming events of which consequences cannot be fully predicted in advance. The aim of the dissertation has been to focus on the management of interest rate-related risks and present two important tools used to manage them: Income Gap analysis and Duration Gap analysis. In describing the two methods their validity, and their degree of use has been assessed as well as the further complications that make a financial institution manager’s job even harder referring to both internal and external factors.