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This paper contributes to prior literature and to the current debate concerning recent revisions of the regulatory approach to measuring bank exposure to interest rate risk in the banking book by focusing on assessment of the appropriate amount of capital banks should set aside against this...
Persistent link: https://www.econbiz.de/10013248894
This 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. Relative to prior literature, to take advantage of the unprecedented interest rate environment determined by European...
Persistent link: https://www.econbiz.de/10015371419
Appropriate methodologies to assess interest rate risk contribute to the sound management of a credit institution and, given the systemic nature of this risk, help to pursue global financial stability. The regulatory models to estimate a bank's exposure to interest rate risk in the banking book...
Persistent link: https://www.econbiz.de/10015408803