Does prudential regulation contribute to effective measurement and management of interest rate risk? : evidence from Italian banks
Year of publication: |
June 2017
|
---|---|
Authors: | Cerrone, Rosaria ; Cocozza, Rosa ; Curcio, Domenico ; Gianfrancesco, Igor |
Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 30.2017, p. 126-138
|
Subject: | Bank regulation | Interest rate risk | Monte Carlo simulations | Historical simulations | Backtesting | Zinsrisiko | Bankenregulierung | Italien | Italy | Monte-Carlo-Simulation | Monte Carlo simulation | Bankrisiko | Bank risk | Simulation | Zins | Interest rate | Risikomaß | Risk measure | Basler Akkord | Basel Accord |
-
Evaluating the validity of regulatory interest rate risk measures : a simulation approach
Claußen, Catharina, (2023)
-
Internal models for deposits : effects on banks' capital and interest rate risk of assets
Dal Borgo, Mariela, (2022)
-
Cocozza, Rosa, (2015)
- More ...
-
Cerrone, Rosaria, (2021)
-
Curcio, Domenico, (2021)
-
Curcio, Domenico, (2019)
- More ...