Interest margin and interest rate risk of the Caisse d'Epargne du Limousin: a model in terms of portfolio choice.

Summary This thesis proposes a method for managing the interest rate risk related to the commercial activity of the Caisse d'Epargne du Limousin. This method is based on the principle of the Markowitz (1952) portfolio choice model adapted to the banking activity. Its theoretical structure makes it possible to determine the optimal distribution of new operations of a bank that is adverse to risk by arbitrating between return and risk. This optimization is performed in the presence of regulatory and commercial constraints. Since the bank's previous operations cannot be cancelled, the interest rate risk is managed through its new operations. This method is adapted to the balance sheet of the Caisse d'Epargne du Limousin and then subjected to numerous simulations. These simulations show that, in relation to the new production objectives of the Caisse d'Epargne du Limousin, the proposed method makes it possible to improve the interest margin while reducing the risk.