Search Results - subject_exact:"Interest rate risk"

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The impact of banks' interest rate risk on monetary policy transmission

Dursun-de-Neef, Özlem; Er, Tarık Alperen; Yarba, Ibrahim - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015559626

Hedge accounting and banks' interest rate risk management

Ali, Waqar; Bhojraj, Sanjeev; Lu, Yao - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016084288

Tail sensitivity of US bank net interest margins : a Bayesian penalized quantile regression approach

Fritsch, Nicholas - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015326365

Why does the yield curve predict GDP growth? : the role of banks

Minoiu, Camelia; Schneider, Andrés; Wei, Min - 2025

We show that the slope of the yield curve affects bank lending and economic activity through an "expected bank profitability channel." Using detailed banking data and term premium shocks identified via instrumental variables or event studies, we show that a steeper yield curve-when driven by...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015419869

NMDs logistic regression model

Cappellina, Luca; Sartore, Domenico - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464272

Pricing tail risks : bank equity returns during the 2023 bank stress

Seay, Matthew P.; Kimble, Shawn M. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471323

The fiscal cost of quantitative easing

Avernas, Adrien d'; Hubert de Fraisse, Antoine; Ning, Liming - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015436439

Banks' maturity choices and the transmission of interest-rate risk

Varraso, Paolo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015633185

Interest rate risk at US credit unions

Rosenberger, Grant E.; Zimmerman, Peter - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014515975

Multiple yield curve modeling and forecasting using deep learning

Richman, Ronald; Scognamiglio, Salvatore - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015154556

Optimal defined-contribution pension management with financial and mortality risks

Li, Wenyuan; Wei, Pengyu - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015154561

Optimal annuitization under stochastic interest rates

Dillschneider, Yannick; Maurer, Raimond; Schober, Peter - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015154568

Interest rate risk in banking

DeMarzo, Peter M.; Krishnamurthy, Arvind; Nagel, Stefan - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015187706

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Interest rate risk in banking

DeMarzo, Peter M.; Krishnamurthy, Arvind; Nagel, Stefan - 2024

Book / Working Paper

Interest Rate Risk in Banking

DeMarzo, Peter M.; Krishnamurthy, Arvind; Nagel, Stefan - 2024

Book / Working Paper

One year on from the new IRRBB / CSRBB regulatory framework : evidence, implementation challenges and open issues from Italian banks

Gianfrancesco, Igor; Pansini, Annalisa; Preger, Alina; … - 2026

This paper provides an empirical assessment of the implementation of the new IRRBB and CSRBB regulatory framework approximately one years after its introduction, based on evidence from an AIFIRM survey on 25 Italian banks. The analysis covers three reporting dates (31 December 2023, 31 December...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070034

Underwater : strategic trading and risk management in bank securities portfolios

Fuster, Andreas; Paligorova, Teodora; Vickery, James - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083095

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Underwater : strategic trading and risk management in bank securities portfolios

Fuster, Andreas; Paligorova, Teodora; Vickery, James - 2026

Book / Working Paper

Monetary Policy, Held-to-Maturity Securities, and Uninsured Deposit Withdrawals

Özlem Dursun-de Neef, H.; Ongena, Steven; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016077019

Non-maturity deposit risk under interest rate stress : a behavioral modeling framework

Cappellina, Luca; Sartore, Domenico - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654875

Banks' dynamic interest rate risk hedging

Bianchi, Michele Leonardo; Ruzzi, Dario; Segura, Anatoli - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655884

The demand for long-term mortgage contracts and the role of collateral

Liu, Lu - 2023

Long-term fixed-rate mortgage contracts protect households against interest rate risk, yet most countries have relatively short interest rate fixation lengths. Using administrative data from the UK, the paper finds that the choice of fixation length tracks the life-cycle decline of credit risk...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014309040

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The demand for long-term mortgage contracts and the role of collateral

Liu, Lu - 2023

Book / Working Paper

The demand for long-term mortgage contracts and the role of collateral

Liu, Lu - 2023

Book / Working Paper

The influence of negative interest rates on life insurance companies

Grochola, Nicolaus - 2023 - This version: November 2023

Between 2016 and 2022, life insurers in several European countries experienced negative longterm interest rates, which put pressure on their business models. The aim of this paper is to empirically investigate the impact of negative interest rates on the stock performance of life insurers. To...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014427308

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The influence of negative interest rates on life insurance companies

Grochola, Nicolaus - 2023

Book / Working Paper

Riding the rate wave: Interest rate and run risks in euro area banks during the 2022-2023 monetary cycle

Rice, Jonathan; Guerrini, Giulia Maria - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015432264

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Riding the rate wave: Interest rate and run risks in euro area banks during the 2022-2023 monetary cycle

Rice, Jonathan; Guerrini, Giulia Maria - 2025

Book / Working Paper

Why does the yield curve predict GDP growth? The role of banks

Minoiu, Camelia; Schneider, Andrés; Wei, Min - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015448167

Life cycle consumption and portfolio choice under real interest rate risk

Fischer, Marcel; Jankowski, Natascha - 2025 - This version: April 30, 2025

We set up a life cycle model with real interest rate risk to demonstrate that real interest rates have implications for optimal household consumption and investments. Lower interest rates lead to higher optimal stock investments and lower consumption. Ignoring the time-varying nature of real...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015426517

Riding the rate wave : interest rate and run risks in euro area banks during the 2022-2023 monetary cycle

Rice, Jonathan; Guerrini, Giulia Maria - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015574517

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Riding the rate wave : interest rate and run risks in euro area banks during the 2022-2023 monetary cycle

Rice, Jonathan; Guerrini, Giulia Maria - 2025

Book / Working Paper

Riding the rate wave : interest rate and run risks in euro area banks during the 2022-2023 monetary cycle

Rice, Jonathan; Guerrini, Giulia Maria - 2025

Book / Working Paper

Solvency analysis of deferred annuities

Gasimova, Khadija; Haberman, Steven; Millossovich, Pietro - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593636

Lost in the LIBOR transition

Backwell, Alex; Macrina, Andrea; Schlögl, Erik; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534047

Interest rate derivatives market : peculiarities, problems and prospects for russia

Karov, Eldar; Soloviev, Pavel Yu.; Krinichansky, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015431875

Bank Asset-Liability Management : A Guide to Managing Interest Rate Risk in the Banking Book for Practitioners, Regulators, and Supervisors in the EU

Tata, Fidelio - 2025

Fidelio Tata is a senior financial markets professional with some 30 years of leadership experience in derivatives marketing, institutional sales, risk management, and global fixed income research. He is a veteran of top Wall Street firms including JPMorgan, Credit Suisse, HSBC, and Societe...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015192825

Nexus between interest rate risk and economic value of equity of banks

Soundariya G.; David, Treesa Aleena; Suresh G. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016073730

Market risk management practices of the Indian banking sector : an empirical study

Bezawada Brahmaiah, Ranajee - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013259413

Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve

Foos, Daniel; Lütkebohmert, Eva; Markovych, Mariia; … - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013415731

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Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve

Foos, Daniel; Lütkebohmert, Eva; Markovych, Mariia; … - 2017

Book / Working Paper

Euro Area Banks' Interest Rate Risk Exposure to Level, Slope and Curvature Swings in the Yield Curve

Foos, Daniel - 2018

Book / Working Paper

Effects of financial statement and macroeconomic factors on risk measures of banks in India : panel and decision tree analysis approach

Banerjee, Gaurango; Gupta, Abhimanyu; Das, Abhiman - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013460147

Floating rate notes in high rate environment and the stock market response

Tewari, Manish; Ramanlal, Pradipkumar - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013460189

How do life insurers respond to a prolonged low interest rate environment? : a literature review

Suwanmalai, Wilaiporn; Zaby, Simon - 2022

Life insurers, whose contractual liabilities include providing minimum guaranteed interest rates to policyholders, are significantly affected by persistently low interest rates. Hence, this study reviews the literature on the prolonged low interest rate environment and its impact on the life...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013368257

Optimal cross-currency mortgage decisions

Lütkebohmert, Eva; Falk, Thorsten; Zhu, Tianjiao - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013371057

Effect of interest rate risk on financial performance the mediating role of banking security degree : evidence from the financial sector in Jordan

Al-Slehat, Zaher Abdel Fattah - 2022

The current study aims to determine the effect of interest rate risk on financial performance through the banking security degree as a mediating variable. The study population includes 13 Jordanian commercial banks from 2011 to 2018. To achieve the current study objectives, a descriptive and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013206247

Corporate governance and financial distress in the Indonesia banking sector : an empirical study

Sudiyatno, Bambang; Sudarsi, Sri; Rijanti, Tristiana; … - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013428899

On the diversification of fixed income assets

Le Courtois, Olivier - 2022

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012806470

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On the diversification of fixed income assets

Le Courtois, Olivier - 2022

Article

Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment

Coulier, Lara; Pancaro, Cosimo; Reghezza, Alessio - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015199516

Interest Rate Risk in Banking

DeMarzo, Peter; Krishnamurthy, Arvind; Nagel, Stefan - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015211289

The impact of domestic and global factors on individual public, domestic and foreign bank performances in Türkiye

Çiçek, Serkan; Yıldırım, Aynur - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014547710

Hedging measures to manage shrinking fiscus and high interest rate risks to optimize the delivery of affordable housing in South Africa

Moss, Vuyisani - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618563

Pricing guaranteed annuity options in a linear-rational Wishart mortality model

Fonseca, José da - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015066733

Are low interest rates firing back? : interest rate risk in the banking book and bank lending in a rising interest rate environment

Coulier, Lara; Pancaro, Cosimo; Reghezza, Alessio - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015076957

Show 2 more versions 2

Are low interest rates firing back? : interest rate risk in the banking book and bank lending in a rising interest rate environment

Coulier, Lara; Pancaro, Cosimo; Reghezza, Alessio - 2024

Book / Working Paper

Are low interest rates firing back? : interest rate risk in the banking book and bank lending in a rising interest rate environment

Coulier, Lara; Pancaro, Cosimo; Reghezza, Alessio - 2024

Book / Working Paper

Welfare loses of a "one size fits all" pension contract for agents with interest rate risk : part of PhD thesis "Individualized pension contracts: risks, welfare losses and investment choices"

Dees, Bart; Nijman, Theodore E.; Wilms, Ole - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014536214

The impact of domestic and global factors on individual public, domestic and foreign bank performances in Türkiye

Çiçek, Serkan; Yıldırım, Aynur - 2024

The Turkish economy has encountered significant shocks in interest rates and foreign exchange along with global risks in recent years. These shocks had an impact not only on the real sector but also on the banking sector's returns, depending on the ownership structure. This study examines the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014518481

Interest rate risk exposures of non-financial corporates and households : implications for monetary policy transmission and financial stability

2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015135509

Interest rate exposure of Slovenian households

Ploj, Gašper - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015127231

Interest rates, profitability and risk : evidence from local Italian banks over the years 2006-2018

Cocozza, Rosa; Curcio, Domenico; Gianfrancesco, Igor; … - 2024

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371419

Are low interest rates firing back? : interest rate risk in the banking book and bank lending in a rising interest rate environment

2024

We match granular supervisory and credit register data to assess the implications of banks' exposure to interest rate risk on the monetary policy transmission to bank lending supply in the euro area. We exploit the largest and swiftest increase in interest rates since the creation of the euro...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015275133