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...

The interest rate risk is the degree of exposure of a bank's financial condition to adverse movements in interest rates. Changes in interest rates affect a bank's earnings by changing its net interest income and the level of other interest-sensitive income and operating expenses. Changes in...

The paper aims to investigate some significant critical issues of the national and international regulation of bank interest rate risk. Particularly, the paper examines the link between internal models and standardized models used by banks to provide financial information to banking authorities...

Interest rate risk is the exposure of a bank's financial condition to adverse movements in interest rates. Changes in interest rates affect a bank's earnings by changing its net interest income and also affect the underlying value of the bank's assets, liabilities and off-balance sheet...