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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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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
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Understanding and managing interest rate risk at banks
Acharya, Viral V. - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 218-231
Persistent link: https://www.econbiz.de/10011974365
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The new supervisory outlier test (SOT) on net interest income (NII) : empirical evidence from a sample of Italian banks
Curcio, Domenico; Gianfrancesco, Igor; Pansini, Annalisa; … - In: Risk management magazine 17 (2022) 3, pp. 42-52
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...
Persistent link: https://www.econbiz.de/10013501333
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Bank capital buffers and bank risks : evidence from the Namibian banking sector
Sheefen, Johannes P. S. - In: International journal of business and economic sciences … 15 (2022) 3, pp. 60-68
Purpose: This paper analysed the effects of bank's risk on capital buffer in Namibia, in the absence of the consensus … both the short and long run. On the contrary, bank size in form of log of total loans positively affects capital buffers in …
Persistent link: https://www.econbiz.de/10014281281
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Equity versus bail-in debt in banking : an agency perspective
Mendicino, Caterina; Nikolov, Kalin; Suárez, Javier - 2017
We examine the optimal size and composition of banks' total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition (equity vs. bail-in debt) is driven by the...
Persistent link: https://www.econbiz.de/10011978192