Gap management: managing interest rate risk in banks and thrifts [PDF]
Bank profits ; Asset-liability management ; Interest rates ...
Alden L. Toevs
core
Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach [PDF]
This study employs an extended version of the Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the time-series sensitivity of Australian bank stock returns to market, interest rate and foreign exchange rate ...
Andrew C. Worthington, Susan Ryan
core
Hedging and Coordinated Risk Management: Evidence from Thrift Conversions [PDF]
The authors propose an approach to analyzing risk management activities when multiple risks are bundled within a firm's assets or liabilities. They classify potentially bundled risks into two types: compensated risk and hedgeable risk.
Catherine M. Schrand, Haluk Unal
core
The Cross-Section of Currency Risk Premia and US Consumption Growth Risk [PDF]
Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as much as the interest rate differential and why high interest rate currencies do not depreciate as much as the interest rate differential.
Adrien Verdelhan, Hanno Lustig
core
Interest Rate Risk of Banking Accounts: Measurement Using the VaR Framework [PDF]
In order to measure the interest rate risk of banking accounts such as deposits and loans, this paper extends the value at risk (hereafter, VaR) analysis framework, which is useful for the risk evaluation of trading accounts.
Kiyama, Yoshinao et-al
core
Uluslararası Ekonomi, İşletme ve Politika DergisiIn this study, econometric methods are used to investigate the causality relationships between key macroeconomic and financial indicators in Türkiye. The research focuses on the Türkiye economy and financial markets for the period 2011-2019. Monthly data
Onur Şeyranlıoğlu +2 more
doaj +1 more source
Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk [PDF]
Convertible bonds are hybrid securities whose pricing relies on a set of complex inter-dependencies due to the sensitivity to interest rate risk, underlying (equity) risk, FX risk, and credit risk, and due to the convertible bond’s early exercise ...
Ali Bora Yigitbasioglu
core
Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure [PDF]
We use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation.
Memmel, Christoph
core
Long-Term Risk with Stochastic Interest Rates
SSRN Electronic Journal, 2018 AbstractIn constant‐rate markets, the average stochastic discount factor growth rate coincides with the instantaneous rate. When interest rates are stochastic, this average growth rate is given by the long‐term yield of zero‐coupon bonds, which cannot serve as instantaneous discount rate.
openaire +2 more sources
An economic capital model integrating credit and interest rate risk in the banking book [PDF]
Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all
Alessandri, Piergiorgio +1 more
core