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Wrong-way risk of interest rate instruments

Ben-Abdallah, Ramzi; Breton, Michèle; Marzouk, Oussama - In: The journal of credit risk : published quarterly by … 15 (2019) 2, pp. 21-44

Persistent link: https://www.econbiz.de/10012100575

Determinants of bank interest margins : impact of maturity transformation

Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - In: Journal of banking & finance 54 (2015), pp. 1-19

Persistent link: https://www.econbiz.de/10011377747

Commodity price risk management and fiscal policy in a sovereign default model

Lopez-Martin, Bernabe; Leal, Julio; Martinez Fritscher, … - 2017

Commodity prices are an important driver of fiscal policy and the business cycle in many developing economies. We analyze a dynamic stochastic small-open-economy model of sovereign default, featuring endogenous fiscal policy and stochastic commodity revenues. The model accounts for a positive...

Persistent link: https://www.econbiz.de/10011630790

Commodity price risk management and fiscal policy in a sovereign default model

Lopez-Martin, Bernabe; Leal, Julio; Martinez Fritscher, … - 2017

Persistent link: https://www.econbiz.de/10011752649

Risk management for sovereign financing within a debt sustainability framework

Athanasopoulou, Marialena; Consiglio, Andrea; Erce, Aitor; … - 2018

Persistent link: https://www.econbiz.de/10011948222

Commodity Price Risk Management and Fiscal Policy in a Sovereign Default Model

Lopez-Martin, Bernabe - 2017

Commodity prices are an important driver of fiscal policy and the business cycle in many developing and emerging market economies. We analyze a dynamic stochastic small-open-economy model of sovereign default, featuring endogenous fiscal policy and stochastic commodity revenues. The model...

Persistent link: https://www.econbiz.de/10012960198

Commodity price risk management and fiscal policy in a sovereign default model

Lopez-Martin, Bernabe; Leal, Julio; Martinez Fritscher, … - In: Journal of international money and finance 96 (2019), pp. 304-323

Persistent link: https://www.econbiz.de/10012139835

Risk matters : a comment

Born, Benjamin; Pfeifer, Johannes - 2014

Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk … rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more … than doubles. Hence, risk matters more in the recalibrated model. However, the recalibrated model does worse in capturing …

Persistent link: https://www.econbiz.de/10010354846

Rising interest rates, lapse risk, and the stability of life insurers

Berdin, Elia; Gründl, Helmut; Kubitza, Christian - 2017 - This version: July 2017

This paper investigates the effects of a rise in interest rate and lapse risk of endowment life insurance policies on …

Persistent link: https://www.econbiz.de/10011696403

Interest rate models in risk management: results for US Treasury yields

Nowman, Kalid Ben - In: Financial risk and financial risk management, (pp. 325-345). 2002

Persistent link: https://www.econbiz.de/10001755650