Risk Assessment of Banks When Interest Rate Hikes [PDF]
SHS Web of ConferencesIn 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
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Corporate interest rate risk management with derivatives in Australia: empirical results [PDF]
Revista Contabilidade & Finanças, 2008 Financial and insurance theories explain that large widely-held corporations manage corporate risks if doing so is costective to reduce frictional costs such as taxes, agency costs and financial distress costs.
Luiz Augusto Ferreira Carneiro +1 more
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Risk prediction of interest rate futures based on machine learning scenarios [PDF]
SHS Web of ConferencesThe interest rate futures market is a significant part of the financial market. It has a crucial impact on forecast the interest rate risk in global financial markets, which due to the complexity of financial markets and the volatility of interest rate ...
Chen Rui +3 more
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Ranking the methods to improve asset-liability management in commercial banks of Iran using the hybrid MCDM approach (case study: Tehran branches of Sepah Bank) [PDF]
تصمیم گیری و تحقیق در عملیات, 2023 Purpose: The main objective of this study is to rank methods of improving debt-asset management at branches of Bank Sepah in Tehran.Methodology: Questionnaires were the tool to collect data, and statistical sample is 146 managers and experts of Bank ...
Seyed Fakhreddin Fakhrhosseini +1 more
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Who Bears Interest Rate Risk? [PDF]
The Review of Financial Studies, 2017 AbstractWe study the allocation of interest rate risk within the European banking sector using novel data. Banks’ exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. Contrary to conventional wisdom, net worth is increasing in interest rates for approximately half of the institutions in our sample.
Hoffmann, Peter +3 more
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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
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Variance and Interest Rate Risk in Unit-Linked Insurance Policies
Risks, 2020 One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form.
David Baños +2 more
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Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk
Risks, 2014 We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process.
Tina Engler, Ralf Korn
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Analyzing Various Channels of Monetary Policy Transmission Mechanism: The Case of Pakistan
Market Forces, 2022 This paper measures the impact of the interest rate, credit, and risk channel on the monetary policy of Pakistan, based on a data set from 1995 to 2020. It also examines the long-run and the short-run relationship between foreign debt, bank capital, and ...
Saghir Pervaiz Ghauri , Syed Imran Zaman
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Interest Rate Risk Management using Duration Gap Methodology [PDF]
Theoretical and Applied Economics, 2008 The world for financial institutions has changed during the last 20 years, and become riskier and more competitive-driven. After the deregulation of the financial market, banks had to take on extensive risk in order to earn sufficient returns.
Dan Armeanu +2 more
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