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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019 - This version: June 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10012040065
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10011975602
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Who bears interest rate risk?
Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; … - 2018
We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to … redistributive effects within the banking sector. …
Persistent link: https://www.econbiz.de/10011901434
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10012040134
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10012142086
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Asset-liability management with ultra-low interest rates
Grossman, Richard S.; Molyneux, Philip; Lambert, Frederic; … - Conference on Asset-Liability Management with Ultra-Low …; … - 2015
On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors' contributions to the Vienna...
Persistent link: https://www.econbiz.de/10011413495
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Management of Interest Rate Risk in Indian Banking
Swamy, Vighneswara - 2013
In a move towards effective management of interest rate risk in Indian banking, in addition to the existing return on …
Persistent link: https://www.econbiz.de/10013082007
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Bank Interest Rate Risk Management
Vuillemey, Guillaume - 2017
and (ii) above 50% of hedging banks use derivatives to increase exposure. We model a bank's capital structure, and show … that these facts are consistent with optimal hedging under financial frictions. Novel predictions on the characteristics of …' derivatives exposures are not necessarily evidence of excessive risk-taking, and can be explained by hedging in the presence of …
Persistent link: https://www.econbiz.de/10012971207
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Asset Liability Management in Indian Banking Industry - With Special Reference to Interest Rate Risk Management in ICICI Bank
Balakrishnan, Charumathi - 2012
Assets and Liabilities Management (ALM) is a dynamic process of planning, organizing, coordinating and controlling the assets and liabilities – their mixes, volumes, maturities, yields and costs in order to achieve a specified Net Interest Income (NII). The NII is the difference between...
Persistent link: https://www.econbiz.de/10013115771
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Interest rate risk and monetary policy normalisation in the euro area
Molyneux, Philip; Pancotto, Livia; Reghezza, Alessio; … - 2020
banking of a possible return to a normalised monetary policy. …
Persistent link: https://www.econbiz.de/10012318814