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Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings
Sy, Amadou N. R. - 2005
of recommendations regarding government policies and individual bank practices to manage interest rate risk …
Persistent link: https://www.econbiz.de/10014402042
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Competition and bank risk : the role of securitization and bank capital
Altunbaş, Yener; Marqués Ibáñez, David; … - 2019
We examine how bank competition in the run-up to the 2007-2009 crisis affects banks' systemic risk during the crisis …. We then investigate whether this effect is influenced by two key bank characteristics: securitization and bank capital …. Using a sample of the largest listed banks from 15 countries, we find that greater market power at the bank level and higher …
Persistent link: https://www.econbiz.de/10012102090
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Currency Crises and the Real Economy : The Role of Banks
Disyatat, Piti - 2001
This paper shows that the quality of banks within each country is one of the important factors that can account for the fact that developing economies tend to suffer more severe output contractions in the wake of a currency crisis than more mature economies. In particular, countries with a...
Persistent link: https://www.econbiz.de/10014403524
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The behavior of currencies during risk-off episodes
De Bock, Reinout; Carvalho Filho, Irineu de - 2013
Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since 2007. During these episodes, currency markets exhibit recurrent patterns, as the Japanese yen, Swiss franc, and U.S. dollar appreciate against other G-10 and emerging market...
Persistent link: https://www.econbiz.de/10012671010
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What's in the (r)-stars for Korea?
Rafiq, Sohrab - 2021
Korea's stars tell of an economy saddled with a real neutral rate (r-star) that has declined significantly in recent decades and is currently below zero. This reflects a significant decline in trend growth, and two large financial crises that triggered significant shifts in the saving-investment...
Persistent link: https://www.econbiz.de/10012604759
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Outlook for interest rates and Japanese banks’ risk exposures under abenomics
Arslanalp, Serkan; Lam, W. Raphael - 2013
increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of …
Persistent link: https://www.econbiz.de/10012667499
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Riding the yield curve : risk taking behavior in a low interest rate environment
Chami, Ralph; Cosimano, Thomas F.; Rochon, Céline; … - 2020
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with...
Persistent link: https://www.econbiz.de/10012251301
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Why do bank-dependent firms bear interest-rate risk?
Kirti, Divya - 2017
I document that floating-rate loans from banks (particularly important for bank-dependent firms) drive most variation …
Persistent link: https://www.econbiz.de/10011716398
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What are reference rates for?
Kirti, Divya - 2017
management of funding risk. As bank funding costs move with bank credit risk, it makes sense for the reference rate to have a … bank credit risk component. Manipulation can add noise, reducing the usefulness of reference rates for this purpose …
Persistent link: https://www.econbiz.de/10011716481
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Introduction to Applied Stress Testing
Cihák, Martin - 2007
Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with...
Persistent link: https://www.econbiz.de/10014400349