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Das Management des Zinsrisikos bei Banken

Nicoletti, Marcello - 2002

Element des Zinsrisiko-Managements wird im Anschluss kurz besprochen. …

Persistent link: https://www.econbiz.de/10009449363

Market, interest rate and foreign exchange rate risk in Australian banking: A GARCH-M approach

Ryan, Suzanne K.; Worthington, Andrew C. - 2004

This study employs an extended version of the Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the time-series sensitivity of Australian bank stock returns to market, interest rate and foreign exchange rate risks. Daily Australian bank portfolio...

Persistent link: https://www.econbiz.de/10009437451

A modelling process of short-term interest rate risk management for the South African commercial banking sector

Sun, Jiaqi - 2011

ENGLISH ABSTRACT: This study focuses on banking book interest rate risk management, more specifically shortterminterest rate risk management problems. This type of risk is induced by the inflationtargeting policy of the South African Reserve Bank. As a result, inflation leads to an...

Persistent link: https://www.econbiz.de/10009442160

Rinkos palūkanų normos pokyčio įtakos komercinių bankų grynosioms palūkanų pajamoms analizė

Likus, Aurimas - 2010

Magistro darbe išanalizuoti ir aprašyti pajamų ir vidutinės svertinės perkainojimo laiko trukmės spragos analizės metodai, galintys įvertinti komercinių bankų palūkanų normos riziką bei vykdomą aktyvų ir pasyvų valdymo politiką terminų suderinamumo atžvilgiu. Remiantis...

Persistent link: https://www.econbiz.de/10009478532

Iždo rizikų strateginio valdymo poveikio įvertinimas akcinės bendrovės „Mažeikių nafta“ finansinių išteklių formavimui

Ginterienė, Elena - 2007

Dauguma šiuolaikinių finansų valdymo ir investicijų mokslinių darbų akcentuoja finansinės rizikos valdymo svarbą finansinių institucijų veiklai. Augančioje finansų rinkoje aktyviais dalyviais tampa įmonės, kurių ilgalaikei sėkmei įtakos turi finansinių lėšų valdymas....

Persistent link: https://www.econbiz.de/10009478547

Alternative Ways of Interest Rate Risk Management and their Effectiveness on Small and Medium Enterprises in Lithuania

Jurevičiūtė, Agnė - 2009

Global financial crisis has exposed borrowers to substantially increased interest rate risk and motivated them to search for ways to insure against it. Unfortunately, small and medium enterprises (SMEs) often do not have access to interest rate derivatives, which leaves the question: how can...

Persistent link: https://www.econbiz.de/10009479362

Bewertung und Risikoanalyse variabel verzinslicher Kundengeschäfte: ein kapitalmarktkonsistenter Bewertungsansatz und dessen Analyse

Krombach, Arne - 2011

das Zinsrisiko einer Bank ausüben um nicht nur den isolierten Blick auf ein einzelnes Produkt darzustellen, sondern das … Zinsstrukturkurvenmodelle und Pass-through Modelle ist zwar erkennbar, aber nicht maßgeblich. Sollen dagegen Banken gemäß dem Zinsrisiko von … Banken mit einer vergleichbaren Bilanzstruktur und einem vergleichbaren Eigenkapitalwert nicht über das gleiche Zinsrisiko …

Persistent link: https://www.econbiz.de/10009447142

An investigation of the impact of interest rates and interest rate volatility on Australian financial sector stock return distributions

Faff, Robert W.; Hodgson, Allan; Kremmer, Michael L. - 2005

This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multi-variate GARCH-M model is used to analyse the impact of deregulation on the...

Persistent link: https://www.econbiz.de/10009448327

A comparative analysis of oil as a risk factor in Australian industry stock returns, 1980-2006

McSweeney, E.; Worthington, A. C. - 2007

This paper uses a multifactor model to examine the role of crude oil as a pricing factor in Australian excess industry returns over the period January 1980 to August 2006. A dynamic model is also specified to provide insights into the relationship between the stock market and past oil price...

Persistent link: https://www.econbiz.de/10009457366

Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns: A comparative analysis using GARCH-M

West, T.; Worthington, A. C. - 2006

This paper employs a Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002. Three direct (office, retail and industrial property) and two indirect (listed...

Persistent link: https://www.econbiz.de/10009457497