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Book Value Risk Management of Banks : Limited Hedging, HTM Accounting, and Rising Interest Rates
Granja, João; Jiang, Erica Xuewei; Matvos, Gregor; … - National Bureau of Economic Research - 2024
, focusing on short-term gains but risking further losses if rates rose. Instead of hedging the market value risk of bank asset … fluctuations. More vulnerable banks were more likely to reclassify. Extending Jiang et al.'s (2023) solvency bank run model, we …
Persistent link: https://www.econbiz.de/10014512148
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Why do banks bear interest rate risk?
Memmel, Christoph - In: Schmalenbach business review : sbr 70 (2018) 3, pp. 231-253
Persistent link: https://www.econbiz.de/10011888444
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Mind the Income Gap - Partial Hedging of Interest Rate Risk within Banks' Business Model
Platte, Daniel; Wening, Fabian - 2021
. However, we also confirm a remaining exposure to changing market rates. Our results shed light on an implicit hedging …
Persistent link: https://www.econbiz.de/10013215598
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019 - This version: June 2019
role in determining a bank's IRS trading activity. …
Persistent link: https://www.econbiz.de/10012040065
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
capital and liquidity ratios, the leverage ratio plays a key role in determining a bank's IRS trading activity. 5) Also, after … mandatory central clearing, there is still a large dispersion in IRS transaction prices, which is partly determined by bank …
Persistent link: https://www.econbiz.de/10011975602
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Who bears interest rate risk?
Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; … - 2018
We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately...
Persistent link: https://www.econbiz.de/10011901434
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The Golden Rule of Banking : Funding Cost Risks of Bank Business Models
Großmann, David - 2017
bank business models. Therefore, we assemble a data set of balance sheet positions including maturities and use the method …
Persistent link: https://www.econbiz.de/10012941494
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Does Prudential Regulation Contribute to Effective Measurement and Management of Interest Rate Risk? Evidence From Italian Banks
Cerrone, Rosaria; Cocozza, Rosa; Curcio, Domenico; … - 2021
approach to measuring bank exposure to interest rate risk in the banking book by focusing on assessment of the appropriate … results with actual bank risk exposure. Using a representative sample of Italian banks between 2006 and 2013, our empirical …
Persistent link: https://www.econbiz.de/10013248894
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Bank interest rate risk management
Vuillemey, Guillaume - In: Management science : journal of the Institute for … 65 (2019) 12, pp. 5933-5956
Persistent link: https://www.econbiz.de/10012146909
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Structural Bank Regulation Initiatives : Approaches and Implications
Gambacorta, Leonardo - 2013
The paper examines the basic rationale and features of the proposals adopted to separate specific investment and commercial banking activities (Volcker rule, Vickers and Liikanen proposals). In particular, it focuses on the likely implications of such initiatives for: (i) financial stability and...
Persistent link: https://www.econbiz.de/10013081961