Interest rate risk in the French banking system. [PDF]
Although most bank failures and banking problems historically have been attributable to poorly managed exposures to credit risk, inadequate management of interest rate risk can give rise to the same types of problems, as illustrated by the U.S.
Golitin, V., Quémard, J L.
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The Optimum Leverage Level of the Banking Sector
Risks, 2019 Banks make profits from the difference between short-term and long-term loan interest rates. To issue loans, banks raise funds from capital markets. Since the long-term loan rate is relatively stable, but short-term interest is usually variable, there is
Sagara Dewasurendra +2 more
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Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads [PDF]
Bond issuers frequently immunize/hedge their interest rate exposure by means of interest rate swaps (IRS). The receiving leg matches all bond cash-flows, while the pay leg requires floating rate coupon payments of form LIBOR + a spread.
Dunbar, Kwamie, Schröder, Thomas
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Impact of sovereign credit risk on the Lithuanian interest rate on loans
Ekonomika, 2015 The paper deals with banks’ interest rates on loans for non-financial corporations and households in Lithuania. It focuses on the influence of the sovereign credit risk on interest rates for loans. The paper presents an analysis of long-run and short-run
Arvydas Kregždė, Gediminas Murauskas
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Negative Interest Rate Risk. Atavism or Normalization of Central Banks’ Monetary Policy
Acta Universitatis Lodziensis. Folia Oeconomica, 2019 In the face of the global financial crisis, central banks have used unconventional monetary policy instruments. Firstly, they implemented the interest rate policy, lowering base interest rates to a very low (almost zero) level.
Irena Pyka, Aleksandra Nocoń
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Hedging Interest Rate Risk by Optimization in Banach Spaces. [PDF]
This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical one-period no-arbitrage approach of financial economics.
Balbás, Alejandro, Romera, Rosario
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Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement [PDF]
, 2013 By adopting the polynomial interpolation method, we propose an approach to hedge against the interest-rate risk of the default-free bonds by measuring the nonparallel movement of the yield-curve, such as the translation, the rotation and the twist.
Tuo, Zhongliang
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Interest rates, profitability and risk: Evidence from local Italian banks over the years 2006 -2018 [PDF]
Risk Management MagazineThis paper studies the determinants of net interest margin and of the exposure to the interest rate risk of a sample of 125 local Italian banks during the period 2006-2018.
Rosa Cocozza +3 more
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IAS 39 Hedge Accounting e Interest Rate Risk Management [PDF]
The object of this paper is to investigate the role of interest rate risk measures set out in an immunization theory framework for the control of the hedge effectiveness test, as specified in IAS 39.
Andrea Gheno, Carlo Domenico Mottura
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Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure [PDF]
This paper examines the role played by derivatives in determining the interest rate sensitivity of bank holding companies' (BHCs') common stock, controlling for the influence of on-balance sheet activities and other bank-specific characteristics.
Beverly J. Hirtle
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