Interest rate risk represents one of the key forms of financial risk faced by banks. It has given rise to an extensive body of research, mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates. However, the analysis of the sources of bank interest rate...

The development of the Spanish mortgage market during the last decade has increased the concern about its integration with capital markets. In this context, this paper examines from an empirical perspective the hypothesis of integration between the primary mortgage market and the capital market...

Within a global frame leading to the elaboration of an interest rate risk pricing model applicable to financial institutions which takes the basis risk into account, the current paper analyses the long-term impact of the most representative Spanish monetary market interest rates variations over...

We examine the dynamics of tail dependence across returns of 105 global energy firms from 26 countries covering the regions of America, Asia Pacific and Europe. A partial correlation-based approach is used to quantify the dependence structure and level of systemic risk under relatively stable...

This paper carries out a comprehensive analysis of the interest rate risk borne by the Spanish firms on a sector basis. The traditional linear interest rate exposure model has been extended to allow for the possibility of a nonlinear exposure component as well as the presence of asymmetric...

Are the managers of financial institutions ready for the small but increasingly significant risk of inflation in the near future, due to the unprecedented fiscal and monetary responses of the U.S. government to prevent an economic collapse? This paper addresses this important issue by reviewing...

How do the managers of financial institutions hedge against the effects of non-parallel yield curve shifts? This paper addresses this important issue by reviewing the important findings in the area of interest rate risk management over the past two decades. We discuss four classes of models in...