Wykorzystanie analizy duracji i wypukłości w zarządzaniu ryzykiem stopy procentowej
Use of duration and convexity analysisin interest rate risk management

Summary/Abstract: The purpose of this article is to examine the possibility of use of duration and convexity analysis to evaluate the exposure to interest rate risk in a single bank, as well as at the level of the entire banking sector. Therefore, the article presents the use of this analysis to the examination of variability of the present value of an equity of a single bank. It also shows possible approaches to the use of duration and convexity analysis while analysing exposure to interest rate risk of a whole banking sector. The usefulness of the implementation of duration and convexity analysis while conducting stress test of the banking sector is also analysed. The model, estimated using data from the period from December 2009 to November 2011, allowed noticing that during that period Polish banking sector was exposed to interest rate risk and exposure to this risk was the greatest in the cooperative banks sector in Poland.

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