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...

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...

The paper addresses the question of the usage of stock index option, with reference to both directional strategies and volatility based strategies. The issue of the paper is twofold. Firstly there is a full analysis of possible strategy implementation with reference to the underlying price and...