Risks and yields in not listed banks: the matter of the repricing gap

The concern relates to the repricing gap has to be analyzed in function of interest rates risk ,that is reliant on variation of market rates , with resulting repercussions on the interest margin . This work aims at analyzing the management of the repricing gap, in order to define as well as possible the future interest margin, MI, of a bank by acting on its possible variations . The rates risk mainly affects three factors: such as different maturities, the imbalance of the structures between assets and liabilities, and the different incidence on the lending and deposit rates variation e . Interest rates risk can be observed according to the price risk or to the re-investment risk, the repricing gap serves to control the last one. In this work we have therefore studied the different methodologies to evaluate gap, in presence of maturities or of intervals related to assets and liabilities, that are sensitive to market fluctuations, with the ability to change maturities in order to ensure a better assessment of the interest margin. Finally it’s suggested a weighting of the marginal gaps, which takes into account the remaining time to maturity and the value of the same according to the market cost