Results 41 to 50 of about 4,932,050 (258)
Interest rate risk of Chinese commercial banks based on the GARCH-EVT model
Humanities & Social Sciences Communications, 2023 Interest rate market risk faced by China’s commercial banks is increasing after the announcement that the interest rate marketisation is completed. This paper examines the Value-at-Risk, and statistical properties in the daily price return of Shanghai ...
Xin Chen +4 more
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The GAP model of interest rate risk analysis and management [PDF]
Anali Ekonomskog fakulteta u Subotici, 2014 GAP is known as the oldest and simplest model of measuring interest rate risks analysis in banking theory. When applying GAP analysis, bank balance is divided into several time intervals. GAP analysis can be viewed as a static and dynamic category.
Radović Milan
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Pricing Interest-Rate Risk for Mortgage REITs [PDF]
Using tax-qualified mortgage REITs over three periods (1976-79, 1980-82, and 1983-90), this paper investigates the pricing of interest-rate risk for mortgage REITs at equilibrium.
James R. Webb, Youguo Liang
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The Equity Risk Premium Puzzle in Pakistan
Market Forces, 2021 Our study uses the consumption-based asset-pricing power utility model to test the Equity Risk Premium (ERP) puzzle in Pakistan. The study has collected monthly stock price data from July 1997 to December 2017 from the PSX data portal.
Ali Sajid +3 more
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INTEREST RATE RISK IN TURKISH FINANCIAL MARKETS ACROSS DIFFERENT TIME PERIODS
Buletin Ekonomi Moneter dan Perbankan, 2014 A Measuring the risk associated with interest rates is important since it is beneficial in taking measures before negative effects can take place in an economy.
Durmus Özdemir, Harald Schmidbauer
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Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk [PDF]
, 2006 The purpose of this paper is to analyze the problem of the fair valuation of annuities contracts. The market consistent valuation of these products requires a pricing framework which includes the two main sources of risk affecting the value of the ...
Ballotta, L., Esposito, G., Haberman, S.
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The risks of low interest rates [PDF]
Ensayos sobre Política Económica, 2011 This paper has been prepared for Seminario de la revista Ensayos sobre Politica Economica, 29 October 2010, at the Bank of the Republic, Bogota, Colombia. I would like to thank Yener Altunbas, Claudio Borio, Petra Gerlach-Kristen, Simonetta Iannotti and David Marques-Ibanez for useful comments and discussions.
openaire +2 more sources
Interest rate risk at U.S. commercial banks [PDF]
Risk ; Interest rates ; Banks and banking ; Banks and banking - West ; Federal Reserve District ...
Jonathan A. Neuberger
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Evaluating the Interest-Rate Risk of Adjustable-Rate Mortgage Loans [PDF]
This paper evaluates the interest-rate risk inherent in an adjustable-rate mortgage (ARM) with sporadic rate adjustments and possibly binding periodic and life-of-loan rate change constraints.
Andrea J. Heuson +2 more
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Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note
The International Journal of Banking and Finance, 2009 The abolition of most government controls over the Australian financial system in the 1980s, the advent of a flexible exchange rate regime in 1983 and the globalisation of the financial system in the 1990s have created new opportunities for Australian ...
Abul F. M. Shamsuddin
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