Esposito, Lucia; Nobili, Andrea; Ropele, Tiziano - Banca d'Italia - 2013
evidence that banks managed their overall interest rate risk exposure by means of on-balance-sheet restructuring complemented … their financial conditions and performance. We use a unique dataset to analyse Italian banks� exposure to interest rate … risk during the crisis, relying on the standardized duration gap approach proposed by the Basel Committee. We provide …