Research · Risk Management Club
Characterization of the interest rate risk of the investment portfolio of Dominican multiple banks
A local study applies the Nelson and Siegel model to government yield curves to measure the interest rate risk of investment portfolios.
- Organization
- Dominican Republic Risk Management Club (CGR)
- Document date
- Date to be confirmed
- Type
- Research
- Language
- Spanish
- Scope
- Dominican Republic
What it contains
The Club’s research library describes this study as a work whose objective is to characterize the interest rate risk of the portfolios of Dominican multiple banks. To do so, historical yield curves of government issuers were estimated, applying the Nelson and Siegel (1987) model, a parametric method widely used to fit yield curves from the observed prices or rates of instruments of different maturities.
The link that the Club had published leads to a page of the Central Bank of the Dominican Republic. That page could not be read automatically on 7 October 2026, so this entry is limited to the description the Club keeps in its library and does not detail the study’s authorship, date or results.
Once the authorship and the original document are confirmed, the entry will be completed with the results, the data used and the conclusions. Meanwhile, the study can be consulted through the link to the Central Bank.
Why it matters for risk management
It is a topic directly related to managing the interest rate risk of the local banking investment portfolio. Until the original document is confirmed, this entry should be taken as a reference to the study and not as a summary of its results.
Provisional entry: the linked page could not be read automatically; authorship, date and results remain to be confirmed.
Summary prepared by the Dominican Republic Risk Management Club from a reading of the original document, with the source verified on 7 October 2026. It does not replace reading the official text and is not advice.
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