Results 11 to 20 of about 2,305,337 (265)
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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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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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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Remarks on Interest Rate Risk Management [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2016 Bank interest and interest rate risk management is a contemporary subject and for socio-economic environment of Romania cause serious consequences in the level of economic development.
Elena-Violeta DRAGOI +1 more
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Interest Swaps in Croatian Banking Possibilities of Application [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2004 The author analyzes interest rate trends in the Republic of Croatia within the period 1992-2003. What are the means of protecting against interest risks have also been subject to analysis, although in practice it very often comes down to setting variable
Antun Jurman
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Modelling Counterparty Credit Risk in Czech Interest Rate Swaps
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults.
Lenka Křivánková, Silvie Zlatošová
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