Narrow search
Showing 1 - 10 of 4,784
Cover Image
Asset-liability management with ultra-low interest rates
Grossman, Richard S.; Molyneux, Philip; Lambert, Frederic; … - Conference on Asset-Liability Management with Ultra-Low …; … - 2015
On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors' contributions to the Vienna...
Persistent link: https://www.econbiz.de/10011413495
Cover Image
How Would Us Banks Fare in a Negative Interest Rate Environment?
Arseneau, David M. - 2017
banking sector. This paper offers unique new insights for U.S. banks by using supervisory data to examine bank … likely wash out as liquidity provision is sufficiently well diversified across the banking sector as a whole …
Persistent link: https://www.econbiz.de/10014352395
Cover Image
Non-Maturing Assets and Liabilities of Banks : Valuation and Risk Measurement
Entrop, Oliver - 2009
Non-maturing banking products are important asset and liability positions of banks. Their complexity inter alia arises … both banks and banking supervisors. Based on a large data set, this paper provides a comprehensive analysis of the … valuation of non-maturing banking products. For ranking banks according to the interest rate risk of their products the pass …
Persistent link: https://www.econbiz.de/10013156838
Cover Image
Liquidity Stress-Tester : A Model for Stress-Testing Banks’ Liquidity Risk
van den End, Jan Willem - 2011
This article presents a stress-testing model for liquidity risks of banks. It takes into account the first- and second-round (feedback) effects of shocks, induced by reactions of heterogeneous banks, and reputation effects. The impact on liquidity buffers and the probability of a liquidity...
Persistent link: https://www.econbiz.de/10013133881
Cover Image
Liquidity and market efficiency : alive and well?
Liikanen, Erkki; Jylhä, Petri; Pennacchi, George G.; … - Joint Conference with the Bank of Finland in Helsinki …; … - 2015
On 3 July 2015, SUERF organized its sixth joint conference with the Bank of Finland in Helsinki on the subject of liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes, and a lunchtime address. The present SUERF Study...
Persistent link: https://www.econbiz.de/10011414459
Cover Image
Bank and Official Interest Rates : How Do They Interact Over Time?
Lim, Guay C. - 2011
actual official rates and their changing sensitivity to banking conditions is identified. Results are also provided for the … Australian banking systems …
Persistent link: https://www.econbiz.de/10013132824
Cover Image
How Do Changing U.S. Interest Rates Affect Banks in the Gulf Cooperation Council (GCC) Countries?
Adedeji, Olumuyiwa - 2020
Given their pegged exchange rate regimes, Gulf Cooperation Council (GCC) countries usually adjust their policy rates to match shifting U.S. monetary policy. This raises the important question of how changes in U.S. monetary policy affect banks in the GCC. We use bank-level panel data, exploiting...
Persistent link: https://www.econbiz.de/10012843506
Cover Image
Bank Profitability and Risk Taking in a Prolonged Environment of Low Interest Rates : A Study of Interest Rate Risk in the Banking Book of Dutch Banks
Chaudron, Raymond - 2016
This paper investigates the size and development of Dutch banks' interest rate risk positions in the banking book …
Persistent link: https://www.econbiz.de/10012979908
Cover Image
Non-US Banks' Claims on the Federal Reserve
McCauley, Robert N. - 2014
Non-US banks' affiliates in the United States took on about half of the claims on the Federal Reserve that it created to pay for its large-scale bond purchases. They did so largely through uninsured branches unaffected by a new Federal Deposit Insurance Corporation charge on wholesale funding...
Persistent link: https://www.econbiz.de/10013052170
Cover Image
Banks' maturity transformation : risk, reward, and policy
Bologna, Pierluigi - 2018
The aim of this paper is twofold: first, to study the determinants of banks' net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks of the relaxation of a binding prudential limit...
Persistent link: https://www.econbiz.de/10011848358