Interest Rate Risk in Banking : A Theoretical and Empirical Investigation through a Systemic Approach (Asset & Liability Management)

The paper provides a theoretical analysis of the interest rate risk in banking through a systemic approach that is known in literature as “asset & liability management” approach.The paper provides also an empirical investigation on the exposure of banks to interest rate risk, using three different scenarios: parallel shift, slope shift, and bump shift of interest rate curves

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Year of publication:	2015
Authors:	Scannella, Enzo
Other Persons:	Bennardo, Dario (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Zinsrisiko \| Interest rate risk \| Bilanzstrukturmanagement \| Asset-liability management \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Bankrisiko \| Bank risk

Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Business Systems Review, Vol. 2, Issue 1, 2013, pp. 59-79 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 7, 2013 erstellt
Classification:	G01 - Financial Crises ; G20 - Financial Institutions and Services. General ; G21 - Banks; Other Depository Institutions; Mortgages ; G24 - Investment Banking; Venture Capital; Brokerage ; G32 - Financing Policy; Capital and Ownership Structure ; M10 - Business Administration. General ; M15 - IT Management
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013035341