TERMIUM Plus®

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CURVATURE/SPREAD RISK [1 record]

Filter results by subject field Alphabetical list of terms

Filter results by subject field

Alphabetical list of terms

Record 1 2000-09-18

English

Subject field(s)
  • Investment
  • Currency and Foreign Exchange
CONT

... in order to capture forward gap and interest rate risk within a time-band (which, together, are sometimes referred to as curvature/spread risk), matched long and short positions in each time-band will carry a capital charge.

Key term(s)
  • curvature-spread risk

French

Domaine(s)
  • Investissements et placements
  • Politique monétaire et marché des changes
CONT

[...] pour prendre en compte le risque d'impasse à terme et le risque de taux d'intérêt au sein d'une tranche d'échéances (regroupés parfois sous la dénomination risque courbure/écart de taux), les positions longues et courtes compensées dans chaque tranche seront assorties d'une exigence de fonds propres.

Key term(s)
  • risque courbure-écart de taux

Spanish

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