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The management of interest rate risk during the crisis: evidence from Italian banks
Esposito, Lucia; Nobili, Andrea; Ropele, Tiziano - Banca d'Italia - 2013
by hedging with financial derivatives. But the complementary relationship between risk-management decisions differs …
Persistent link: https://www.econbiz.de/10011099623
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The Exposure of Swiss Banks to Macroeconomic Shocks - an Empirical Investigation
Lehmann, Hansjuerg; Manz, Michael - Schweizerische Nationalbank (SNB) - 2006
Assessing financial stability is an issue of rapidly growing importance to central banks and banking authorities. This … variables as e.g. real growth or interest rate shocks on bank earnings. However, our results suggest that the Swiss banking … falling stock prices would lead to substantial losses in the Swiss banking industry. …
Persistent link: https://www.econbiz.de/10005069891
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Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK
Papadamou, Stephanos; Siriopoulos, Costas - In: Journal of Economics and Business 71 (2014) C, pp. 45-67
This paper investigates the effect that the creation of the Monetary Policy Committee (MPC) has had on the interest rate risk which banks and life insurance companies face in the UK. By means of GARCH-M methodology, the stock returns are modelled on the CAPM and the Fama-French asset-pricing...
Persistent link: https://www.econbiz.de/10010738309
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The Exposure of Swiss Banks to Macroeconomic Shocks - an Empirical Investigation
Lehmann, Hansjörg; Manz, Michael - Schweizerische Nationalbank (SNB) - 2006
Assessing financial stability is an issue of rapidly growing importance to central banks and banking authorities. This … variables as e.g. real growth or interest rate shocks on bank earnings. However, our results suggest that the Swiss banking … falling stock prices would lead to substantial losses in the Swiss banking industry. …
Persistent link: https://www.econbiz.de/10008917442
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A no-arbitrage structural vector autoregressive model of the UK yield curve
Kaminska, Iryna - Bank of England - 2008
This paper combines a structural vector autoregression (SVAR) with a no-arbitrage approach to build a multifactor affine term structure model (ATSM). The resulting no-arbitrage structural vector autoregressive (NA-SVAR) model implies that expected excess returns are driven by the structural...
Persistent link: https://www.econbiz.de/10005086588
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How Dangerous is the Counterparty Risk of OTC Derivatives in Turkey?
D. Yıldırım, Burcu; Coskun, Yener; Caglar, Ozan; … - Volkswirtschaftliche Fakultät, … - 2012
factors, we come up with proxy risk exposure figures for the whole banking system. After a proper adjustment, these figures … banking system. Nevertheless, in light of the new regulatory framework introduced by Basel III, the importance of credit and …
Persistent link: https://www.econbiz.de/10011259897
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An Investigation of the Interest Rate Risk and Exchange Rate Risk of rhe European Financial Sector: Euro Zone Versus Non-Euro Zone Countries
IORIO, Amalia DI; FAFF, Robert; SANDER, Harald - In: Journal of Accounting and Management Information Systems 12 (2013) 2, pp. 319-344
three broad groupings (Banking, Financial Services and Insurance) for a representative group of key euro and non …
Persistent link: https://www.econbiz.de/10010684945
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ANALYZING THE EUROPEAN MARKET OF INTEREST RATE SWAP INDICES
Ioan, Trenca; Simona, Mutu; Nicolae, Petria - In: Annals of Faculty of Economics 1 (2012) 2, pp. 614-619
positions on interest rate derivatives represents more than 75% of the OTC market. In the European banking market interest rate …
Persistent link: https://www.econbiz.de/10010617396
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What is new in the finance-growth nexus: OTC derivatives, bank assets and growth
Becchetti, Leonardo; Ciampoli, Nicola - Associazione Italiana per la Cultura della Cooperazione … - 2012
We investigate the finance-growth nexus before and around the global financial crisis using for the first time OTC derivative data in growth estimates. Beyond the most recent Wacthel and Rousseau (2010) evidence which documents the interruption of the positive finance-growth relationship after...
Persistent link: https://www.econbiz.de/10010991154
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What is new in the finance-growth nexus: OTC derivatives, bank assets and growth
Becchetti, Leonardo; Ciampoli, Nicola - Econometica - 2012
We investigate the finance-growth nexus before and around the global financial crisis using for the first time OTC derivative data in growth estimates. Beyond the most recent Wacthel and Rousseau (2010) evidence which documents the interruption of the positive finance-growth relationship after...
Persistent link: https://www.econbiz.de/10010636604