Repricing gap analysis and yield curve risk (Excel)

[@NEDLeducation]

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

[@matthewtschetter1953]

Outstanding Video. Gems like this really teach you how to read and study a bank. Without models like this, calculating the intrinsic value of a bank is impossible. You earned yourself a patron.

[@NEDLeducation]

Hi Matthew, and many thanks for such kind words and for your support. Stay tuned for more videos on risk management and banking!

[@matthewtschetter1953]

@@NEDLeducation I sent an email about tutoring, have not heard a response yet. Is there a better email to use?

[@NEDLeducation]

@@matthewtschetter1953 Hi Matt, have responded earlier today, check your inbox!

[@richardb7726]

Subscribed recently. I have got to say, excellent videos, well done. Thanks. Keep up the good work

[@NEDLeducation]

Hi Richard, many thanks for the subscription and glad you enjoyed the videos! Stay tuned for more content on risk management :)

[@עדיבןדוד-י5ק]

Well explained! Idea for the next video - the different methods to calculate zero coupon yields like bootstrap or nelson svensson siegel

[@ironlung-kz8oh]

Hi, sir Thanks for your answer. I tried find some numbers by looking over the items you mentioned in banks' annual report, but I could not get enough numbers for analysis like you did. I searched for JPM, BOA, WELLS, but there are just exist few numbers for analyze. Can you teach me where can I find details? or Am I miss something in annual report?

[@ironlung-kz8oh]

Sir, thanks for sharing your knowledge how can I find bank's RSA and RSL for each maturity?

[@NEDLeducation]

Hi, and glad you liked the video. As for your question, this can be found or at least reasonably approximated by looking at "maturity analysis of assets and liabilities" or "assets and liabilities by contractual maturity" in banks' annual reports.

[@AR-Race]

Nice job 👍

[@ironlung-kz8oh]

+ I can only find information of item whose maturities are under 1year, 1year~5year, and over 5year. Could not find out 1m, 3m ..etc

[@eggtimer2]

Far too sloppy! Missing almost any detail relevant to the gap and management of ir.