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Διαχείρηση Χρηματοοικονομικών Κινδύνων Ι
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. 1,000 20 5,604. . 1,000 20 , ? 20- , , 10%. , . , 20 6,727 =[1000*(1+0.10)20], 5,604 1,123 12.3%. 20- , . 20 20 . . , . , , 1000 .
. 1000 50- 10% . 117,391=1000*(1+0.10)50 20 , . 30 , . 117,391 . 20 . A 13%. . 20 , 30 117,391 . . 117,391/(1.13)30=3,001., . 5,604-3,001=2,603, 3 , . .
. 1,000. 10%, . 2,594. 7%, . 5,103=2,594*(1.07)10 5,604. .
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., ., : Asset Liability Management, , , 2003 ., , , , 2002Bessis J., Risk management in Banking, Second Edition, Wiley, 2002Jorion P., Value at Risk: The New Benchmark for Managing Financial Risk, 2nd Edition, McGraw-Hill, New York, 2000 Hefferman S., Modern Banking in Theory and Practice, John Wiley and Sons, 1996Resti A., Sironi A., Risk management and Shareholders Value in Banking, J. Wiley & Sons, 2007Saunders A., Financial Institutions Management-A modern perspective, McGraw Hill Editions, 2002