{"id":25528,"date":"2022-11-01T09:00:00","date_gmt":"2022-11-01T13:00:00","guid":{"rendered":"https:\/\/gestionderiesgo.org\/?p=25528"},"modified":"2026-10-11T20:16:12","modified_gmt":"2026-10-12T00:16:12","slug":"caracterizacion-del-riesgo-de-tasa-de-interes-de-la-cartera-de-inversion-de-los-bancos-multiples","status":"publish","type":"post","link":"https:\/\/gestionderiesgo.org\/en\/caracterizacion-del-riesgo-de-tasa-de-interes-de-la-cartera-de-inversion-de-los-bancos-multiples\/","title":{"rendered":"Characterization of the interest rate risk of the investment portfolio of Dominican multiple banks"},"content":{"rendered":"<div class=\"fusion-fullwidth fullwidth-box fusion-builder-row-1 fusion-flex-container nonhundred-percent-fullwidth non-hundred-percent-height-scrolling\" 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.cgp-note{margin:34px 0 0;padding-top:16px;border-top:1px solid var(--line);font-size:14px;color:var(--slate);max-width:72ch}\n#cgr-pub .cgp-aviso{margin:22px 0 0;padding:12px 16px;border-radius:10px;background:#FFF8E6;border:1px solid #F0DFA8;font-size:14.5px;color:#5a4a12;max-width:72ch}\n#cgr-pub .cgp-back{margin:20px 0 0}\n#cgr-pub .cgp-back a{font-weight:600;text-decoration:none}\n#cgr-pub .cgp-back a:hover{text-decoration:underline}\n@media(max-width:900px){#cgr-pub .cgp-head{grid-template-columns:minmax(0,1fr);gap:26px}#cgr-pub .cgp-body{grid-template-columns:minmax(0,1fr);gap:30px}#cgr-pub .cgp-side{position:static}}\n@media(max-width:520px){#cgr-pub{font-size:16px}#cgr-pub .cgp-facts{grid-template-columns:minmax(0,1fr)}#cgr-pub .cgp-btn{width:100%;justify-content:center}}\n<\/style>\n<div id=\"cgr-pub\">\n<header class=\"cgp-head\">\n<figure class=\"cgp-cover\"><img fetchpriority=\"high\" src=\"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2026\/10\/pub-caracterizacion-del-riesgo-de-tasa-de-interes-de-la-cartera-de-inversion-de-los-bancos-multiples.jpg?v=1791424644\" width=\"1200\" height=\"750\" alt=\"Portada de la ficha: Caracterizaci\u00f3n del riesgo de tasa de inter\u00e9s de la cartera de inversi\u00f3n de los bancos m\u00faltiples RD\" loading=\"eager\" decoding=\"async\"><\/figure>\n<div class=\"cgp-intro\">\n<p class=\"cgp-kind\">Research \u00b7 Risk Management Club<\/p>\n<h2 class=\"cgp-title\">Characterization of the interest rate risk of the investment portfolio of Dominican multiple banks<\/h2>\n<p class=\"cgp-lead\">A local study applies the Nelson and Siegel model to government yield curves to measure the interest rate risk of investment portfolios.<\/p>\n<dl class=\"cgp-facts\"><div><dt>Organization<\/dt><dd>Dominican Republic Risk Management Club (CGR)<\/dd><\/div><div><dt>Document date<\/dt><dd>Date to be confirmed<\/dd><\/div><div><dt>Type<\/dt><dd>Research<\/dd><\/div><div><dt>Language<\/dt><dd>Spanish<\/dd><\/div><div><dt>Scope<\/dt><dd>Dominican Republic<\/dd><\/div><\/dl>\n<div class=\"cgp-actions\"><a class=\"cgp-btn\" href=\"https:\/\/www.bancentral.gov.do\/a\/d\/4119\" target=\"_blank\" rel=\"noopener noreferrer\"><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><path d=\"M14 4h6v6\"\/><path d=\"M20 4l-9 9\"\/><path d=\"M18 14v5a1 1 0 0 1-1 1H5a1 1 0 0 1-1-1V7a1 1 0 0 1 1-1h5\"\/><\/svg>Open the link given by the Club (Central Bank)<\/a><\/div>\n<\/div>\n<\/header>\n<div class=\"cgp-body\">\n<div class=\"cgp-main\">\n<h3>What it contains<\/h3>\n<p>The Club\u2019s 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.<\/p><p>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\u2019s authorship, date or results.<\/p><p>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.<\/p>\n<section class=\"cgp-importa\"><h3>Why it matters for risk management<\/h3><p>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.<\/p><\/section>\n<p class=\"cgp-aviso\">Provisional entry: the linked page could not be read automatically; authorship, date and results remain to be confirmed.<\/p><p class=\"cgp-note\">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.<\/p>\n<p class=\"cgp-back\"><a href=\"\/en\/publicaciones\/\">See all publications<\/a><\/p>\n<\/div>\n<aside class=\"cgp-side\">\n<section class=\"cgp-card\"><h3>Key points<\/h3><ul class=\"cgp-points\"><li>Purpose: to characterize the interest rate risk of the portfolios of Dominican multiple banks.<\/li><li>Method: estimation of historical yield curves of government issuers with the Nelson and Siegel (1987) model.<\/li><li>Link to the Central Bank of the Dominican Republic given by the Club.<\/li><li>Authorship, date and results to be confirmed against the original document.<\/li><\/ul><\/section>\n<section class=\"cgp-card\"><h3>How to cite it<\/h3><p class=\"cgp-cite\">Dominican Republic Risk Management Club. Characterization of the interest rate risk of the investment portfolio of Dominican multiple banks. CGR research library; authorship and date to be confirmed.<\/p><\/section>\n<section class=\"cgp-card\"><h3>Topics<\/h3><ul class=\"cgp-chips\"><li><a href=\"\/en\/publicaciones\/?tema=riesgo-de-mercado-y-liquidez\">Market and liquidity risk<\/a><\/li><\/ul><\/section>\n<\/aside>\n<\/div>\n<\/div><link rel=\"stylesheet\" href=\"https:\/\/fonts.googleapis.com\/css2?family=Zilla+Slab:wght@500;600&display=swap\">\n<footer id=\"cgr-foot\" aria-label=\"Footer of the Risk Management Club\">\n<style>\n#main{padding-bottom:0!important}\n.fusion-fullwidth:has(#cgr-foot),.fusion-layout-column:has(#cgr-foot){padding-bottom:0!important;margin-bottom:0!important}\n#cgr-foot{--navy:#0E3351;--blue:#186392;--web:#1A80B6;--red:#E22A3A;--ink:#1C2632;--slate:#5B6775;--line:#D9E1EA;--mist:#F2F5F8;\n  position:relative;margin:96px 0 0;padding:0;background:var(--mist);box-shadow:0 0 0 100vmax var(--mist);clip-path:inset(0 -100vmax);\n  color:var(--ink);font-family:\"Open 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