Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Held-to-maturity portfolio » ?

Definition 24.11 Rates, Credit, XVA and Risk · Chapitre 24 — Liquidity and Funding Risk; Bank Treasury

A held-to-maturity portfolio holds securities the bank intends and is able to keep until maturity, carried at amortised cost: their market losses do not appear in earnings or in regulatory capital. Selling some can force the whole portfolio to be marked.

Lire dans le chapitre →