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...

Although traditional immunization offers protection against parallel movements of theterm structure of interest rates (TSIR) exclusively, numerous studies have shown that thisstrategy offers near perfect immunization at an empirical level. This work reveals some of thefactors that justify this...

The aim of this paper is to determine whether there have been differences in the effectiveness of the transmission mechanism of monetary policy in Germany, France, Italy, Spain and the United Kingdom since Economic and Monetary Union (EMU) establishment. The analysis is based on the fulfilment...

The group of duration models has grown rapidly during last years, offering manynew approaches for interest rate risk management in delta or delta-gamma frameworks.This paper attempts to make up for the lack of empirical evidence concerning theperformance of some of the most realistic duration...