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Regulation banks' interest rate risk when interest rates are stochastic and equity has limited liability
Duan, Jin-Chuan; Moreau, Arthur F.; Sealey, C. W. - Federal Reserve Bank of Chicago - 1992
Persistent link: https://www.econbiz.de/10010723779
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The relationship between returns to risky lending and Gap management
Morgan, George Emir - Federal Reserve Bank of Chicago - 1987
Persistent link: https://www.econbiz.de/10010724060
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Valuing default-risky interest rate caps: a Monte Carlo approach
Abken, Peter A. - Federal Reserve Bank of Chicago - 1990
Persistent link: https://www.econbiz.de/10010724141
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Credit risk and the scope of regulation of swaps
Smith, Clifford W.; Smithson, Charles W. - Federal Reserve Bank of Chicago - 1987
Persistent link: https://www.econbiz.de/10010724410
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Estimating portfolio net worth values and interest rate risk in savings institutions
Bennett, Dennis E.; Lundstrom, Roger D.; Simonson, Donald G. - Federal Reserve Bank of Chicago - 1986
Persistent link: https://www.econbiz.de/10010724467
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Measurement of interest rate risk for depository institution capital requirements and preliminary tests of a simplified approach
O'Brien, James M. - Federal Reserve Bank of Chicago - 1992
Persistent link: https://www.econbiz.de/10010724548
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Hedging and financial fragility in fixed exchange rate regimes
Burnside, Craig; Eichenbaum, Martin; Rebelo, Sergio - Federal Reserve Bank of Chicago - 1999
domestic and foreign bank creditors. Second, banks do not hedge their exchange rate risk. Third, there is a lending boom before … rate risk. When the fixed exchange rate is abandoned in favor of a crawling peg banks go bankrupt, the domestic interest …
Persistent link: https://www.econbiz.de/10005419946
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Taylor rules in a limited participation model
Christiano, Lawrence J.; Gust, Christopher J. - Federal Reserve Bank of Chicago - 1999
We use the limited participation model of money as a laboratory for studying the operating characteristics of Taylor rules for setting the rate of interest. Rules are evaluated according to their ability to protect the economy from bad outcomes such as the burst of inflation observed in the...
Persistent link: https://www.econbiz.de/10005419947
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Off-balance-sheet items and the changing market and interest-rate sensitivity of deposit-institution equity returns
Unal, Haluk; Kane, Edward J. - Federal Reserve Bank of Chicago - 1987
Persistent link: https://www.econbiz.de/10010723680
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Banks' exposure to interest rate risk and capital adequacy: an appraisal of the federal banking agencies' approach
Hanweck, Gerald A.; Shull, Bernard - Federal Reserve Bank of Chicago - 1994
Persistent link: https://www.econbiz.de/10010723708