Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks [PDF]
This paper estimates the interest rate and exchange rate risk betas of fifty-nine large U. S. commercial banks for the period of 1975-1992, as well as the bank-specific determinants of these betas.
Elyas Elyasiani, Jongmoo Jay Choi
core
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
doaj +1 more source
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
core
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
doaj +1 more source
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
core
Do Options Contain Information About Excess Bond Returns? [PDF]
There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the impact of time-varying volatility on excess ...
Caio Almeida +2 more
core
COVID-19, clean energy stock market, interest rate, oil prices, volatility index, geopolitical risk nexus: evidence from quantile regression [PDF]
, 2022 Sudeshna Ghosh
openalex +1 more source
Interest rate risk and the stock prices of financial institutions [PDF]
Stock - Prices ; Interest ...
G.J. Santoni
core
Risks of the Policy of Negative Interest Rates [PDF]
, 2016 Jarosław Klepacki
openalex +1 more source
Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A Real Options Approach [PDF]
Empirical studies have found that a low interest rate environment accelerates firmsf investment and debt financing, leading to subsequent balance sheet problems in many countries in recent years. We examine the mechanism whereby firmfs debt financing and
Tetsuya Yamada
core