Results 21 to 30 of about 5,015,388 (309)
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
openaire +2 more sources
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
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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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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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
doaj +1 more source
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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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
doaj
Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence [PDF]
, 2014 Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain,
Ames, Matthew +3 more
core +1 more source