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

Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four … found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

-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 returns, a market wide accumulation index, short, medium and long-term interest … suggest that market risk is an important determinant of bank stock returns, along with short and medium term interest rate …

Bank. As a result, inflation leads to an uncertaininterest rate cycle and a period of uncertain interest rate levels as it … bank’s profitability.The study starts with a review of the bank risk management processes, and then discusses theenterprise … tendencies of bank riskmanagement in South Africa and globally.The empirical findings reveal that most banks (i.e. eighty per …

das Zinsrisiko einer Bank ausüben um nicht nur den isolierten Blick auf ein einzelnes Produkt darzustellen, sondern das … die Bewertung und die Zinsrisikoanalyse zu untersuchen. Darüber hinaus wird auf der Basis einer exemplarischen Retail-Bank … Zusammenspiel aller zinstragenden Produkte auf die gesamte Bank herauszuarbeiten.In der Arbeit gelingt es dabei Effekte deutlich zu …

rate volatility on the distribution of Australian financial sector stock returns. In addition, a multi-variate GARCH … bank stock excess returns from positive in the pre-deregulation period to negative in the post-deregulation period. This …

methods are able to evaluate the risk of commercial bank interest rate changes and the policy of forming active and passive … changes in commercial bank net interest income. As a consequence, research hypothesis has been proven, which states … – functional dependence exists between market interest rate changes and commercial bank’s net interest income. …