The treatment of demand loans and deposits is crucial in measuring a bank's actual exposure to the interest rate risk in the banking book. The repricing gap model, the most popular approach to measure this kind of risk, is based on a maturity/repricing schedule, according to which...

Under the new Basel II regulatory framework, the need for an effective risk-adjusted pricing mechanism has become even more central in banking than in the past: banks are spurred to develop risk-adjusted measures, to avoid wasteful customers' cross-subsidization and support the value creation...

The Basel Committee's reform to strengthen the global capital framework, known as Basel III, takes into account a series of measures to address procyclicality and, consequently, make banks' capital requirements more stable during the different phases of the economic cycle. The range of possible...

A recent strand of literature emphasizes a scope economy between bank funding and lending, which is related to the banks' role of liquidity providers. These papers find that the presence of demand deposits can “naturally” hedge the liquidity risk stemming from unused loan commitments...

This paper contributes to prior literature and to the current debate concerning the prudential supervisory framework to measure interest rate risk in the banking book (IRRBB), which has been significantly changed on April 2016, when the Basel Committee on Banking Supervision (BCBS) published the...

In this paper we investigate how financial system stability, assessed through market-based systemic risk measures (SRMs), relates to climate-induced catastrophes and to the structural change caused by the low-carbon transition. We first detect whether, to what extent and how quickly SRMs of the...