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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10011975602
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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
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10012040065
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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 … redistributive effects within the banking sector. …
Persistent link: https://www.econbiz.de/10011901434
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Management of Interest Rate Risk in Indian Banking
Swamy, Vighneswara - 2013
In a move towards effective management of interest rate risk in Indian banking, in addition to the existing return on …
Persistent link: https://www.econbiz.de/10013082007
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Market timing, maturity mismatch, and risk management : evidence from the banking industry ; conference paper
Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013
the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap use …
Persistent link: https://www.econbiz.de/10010343773
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Why do banks bear interest rate risk?
Memmel, Christoph - 2017
This paper investigates determinants of banks' structural exposure to interest rate risk in their banking book. Using … banking book. Moreover, there is evidence that banks hedge their earnings risk resulting from falling interest levels with …
Persistent link: https://www.econbiz.de/10011764838
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The Management of Interest Rate Risk During the Crisis : Evidence from Italian Banks
Esposito, Lucia - 2013
banks managed their overall interest rate risk exposure by means of on-balance-sheet restructuring complemented by hedging …
Persistent link: https://www.econbiz.de/10013072610
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Interest Rate Risk of Non-Maturity Bank Accounts : From the Marketing to the Hedging Strategy
Bloechlinger, Andreas - 2018
We present a coherent management framework for non-maturity accounts to derive the hedging strategy from the marketing … rate and marketing assumptions and to build the dynamic hedging strategy …
Persistent link: https://www.econbiz.de/10012918898
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The market for sharing interest rate risk : quantities and asset prices
Khetan, Umang; Li, Jian; Neamtu, Ioana; Sen, Ishita - 2024
Persistent link: https://www.econbiz.de/10014481359
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The market for sharing interest rate risk: quantities behind prices
Khetan, Umang; Neamțu, Ioana; Sen, Ishita - 2023
Persistent link: https://www.econbiz.de/10014373715