Results 1 to 10 of about 15,960,271 (260)

Management of interest rate risk [PDF]

Ekonomski Signali, 2014
Interest rate risk is one of the biggest and most dangerous risks that a bank is exposed to. When a change of interest rates occurs, the incomes of a bank based on credits and securities endure significant changes.
Šabović Šerif
doaj   +1 more source

The effect of hedging exchange rate risk, interest rate risk and commodity price risk with derivative instruments on firm value [PDF]

Management Science Letters, 2021
The purpose of this paper is to analyze the effects of firm value on hedging for exchange rates, interest rates and commodity price risks using derivative instruments as well as examining different types of derivative instruments, including forward ...
Almas, Nadhifah, Wijaya, Chandra, Indriati, Fibria, Anindyaswari, Sekar   +3 more
doaj   +1 more source

Banking risk 55: IRRBB: Interest rate risk in the banking book [PDF]

Bankarstvo, 2017
The Basel Committee on Banking Supervision published the standard on interest rate risk in the banking book (IRRBB) in 2016, which includes the detailed standardized framework for measuring the IRRBB. The framework enables banks to calculate the economic
Matić Vesna
doaj   +1 more source

Pricing of Credit Risk Derivatives with Stochastic Interest Rate

Axioms, 2023
This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default ...
Wujun Lv, Linlin Tian
doaj   +1 more source

On the Diversification of Fixed Income Assets

Risks, 2022
This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional ...
Olivier Le Courtois
doaj   +1 more source

Zabezpieczenie ryzyka stopy procentowej w kredytowaniu działalności przedsiębiorstw

Studia i Materiały, 2018
The improving economic situation, loosened credit policy of banks and a low level of interest rates foster the increase in enterprises’ credit obligations.
Monika Klimontowicz, Anna Pyka
doaj   +1 more source

Interest rate risk in bond investment: Unconventional measurement methods [PDF]

Bankarstvo, 2015
Interest rate risk of a bond is typically measured by means of duration and convexity. However, these measurements are based on the assumption of a flat yield curve and its parallel shifts.
Trpčevski Mladen
doaj   +1 more source

Interest Rate Risk of Bonds in the Condition of a Changing Key Rate

Финансы: теория и практика, 2022
The article is devoted to the analysis of the behavior of the interest rate risk of bonds in the conditions of a changing key interest rate. As known, the key rate is an instrument of monetary regulation of the Central Bank of the Russian Federation ...
N. V. Popova
doaj   +1 more source

Pengaruh Risiko Pasar terhadap Profitabilitas Perusahaan Subsektor Bank pada Bursa Efek Indonesia

Jurnal Maksipreneur: Manajemen, Koperasi, dan Entrepreneurship, 2018
This study aims to analyze the effect of interest rate risk and exchange rate risk on the profitability of the company sub-sector of the bank in Indonesia Stock Exchange (IDX).
Nawir Mansyur
doaj   +1 more source

Risk Assessment of Banks When Interest Rate Hikes [PDF]

SHS Web of Conferences
In the era of global economic integration, the banking domain stands as a pivotal influence in determining a nation's economic health and stability. This piece explores the mounting significance of appraising banking hazards, especially in the face of ...
Li Jialin
doaj   +1 more source