Web www.software-risk.co.uk

The chance that a security's value will change due to a change in interest rates. For example, a bond's price drops as interest rates rise. For a depository institution, also called funding risk: The risk that spread income will suffer because of a change in interest rates.

Copyright © 2005, Campbell R. Harvey. All Worldwide Rights Reserved. Do not reproduce without explicit permission.

Related Articles
Why Bring Back the 30-Year Bond?
30-Year Bond Makes Comeback
Tilted portfolio
Low-coupon bond refunding
Immunization strategy
Funding risk
Foreign bond market
Foreign bond

Similar Areas

Finance Items

Selected Books

Keywords

Interest rate risk

interest rates

bonds and interest rates

bonds

funding risk