Search Results - subject:"Interest rate risk"

Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp; … - 2023

. Prior work shows that banks hedge the interest rate risk of their assets with their deposit franchise: when interest rates … simultaneously hedge its interest rate risk and liquidity risk exposures. The dilemma disappears only if uninsured deposits do not …

Persistent link: https://www.econbiz.de/10014351115

Optimal consumption and portfolio choice in the presence of risky house prices

Bilsen, Servaas van; Boelaars, Ilja - 2023

Persistent link: https://www.econbiz.de/10014458735

Interest rate sensitivity of Irish Bond funds

Gianstefani, Ilaria; Metadjer, Naoise; Moloney, Kitty - 2023

Persistent link: https://www.econbiz.de/10014464523

The market for sharing interest rate risk: quantities behind prices

Khetan, Umang; Neamțu, Ioana; Sen, Ishita - 2023

Persistent link: https://www.econbiz.de/10014373715

Hedging, market concentration and monetary policy : a joint analysis of gilt and derivatives exposures

Pinter, Gabor; Walker, Danny - 2023

Persistent link: https://www.econbiz.de/10014373716

Bond Duration and Convexity Under Stochastic Interest Rates and Credit Spreads

Dione, Ibrahima; Lai, Van Son - 2023

We investigate the impact of credit spreads on the stochastic duration and convexity of corporate bonds with respect to the very metrics for equivalent Treasury bonds. We show that the credit spread has two interacting effects on both the duration and the convexity of a corporate coupon bond as...

Persistent link: https://www.econbiz.de/10014256700

The influence of negative interest rates on life insurance companies

Grochola, Nicolaus - 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://www.econbiz.de/10014431714

Analyzing The Interest Rate Risk of Equity-Indexed Annuities Via Scenario Matrices

Hieber, Peter - 2023

Equity-indexed annuities are popular insurance products whose performance depends on an underlying fund or investment portfolio that is complemented by an investment guarantee of an insurance provider. A technically complex version is a so-called cliquet-variant where a minimal annual return is...

Persistent link: https://www.econbiz.de/10014254849

A new option for mortality-interest rates

Lin, Tzuling; Tsai, Cary Chi-Liang - In: The journal of futures markets 43 (2023) 2, pp. 273-293

Persistent link: https://www.econbiz.de/10014293018

What drives the short‐term fluctuations of banks' exposure to interest rate risk?

Memmel, Christoph - In: Review of Financial Economics 38 (2020) 4, pp. 674-686

We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank …-level data of German banks for the period 2011Q4–2017Q2, we find evidence that banks actively manage their interest rate risk …-interest period of housing loans has an impact on the banks' overall exposure to interest rate risk. This last finding, in combination …

Persistent link: https://www.econbiz.de/10012428623