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Rising interest rates, lapse risk, and the stability of life insurers

Berdin, Elia; Gründl, Helmut; Kubitza, Christian - 2017 - This version: July 2017

This paper investigates the effects of a rise in interest rate and lapse risk of endowment life insurance policies on …

Persistent link: https://www.econbiz.de/10011696403

Multivariate risk-neutral pricing of reverse mortgages under the Bayesian framework

Li, Jackie; Kogure, Atsuyuki; Liu, Jia - In: Risks : open access journal 7 (2019) 1/11, pp. 1-12

risk, interest rate risk and longevity risk. We adopt the principle of maximum entropy in risk-neutralisation of these … three risk components simultaneously. Our numerical results based on Australian data suggest that a reverse mortgage would …

Persistent link: https://www.econbiz.de/10012018623

Tail sensitivity of US bank net interest margins : a Bayesian penalized quantile regression approach

Fritsch, Nicholas - 2025

Persistent link: https://www.econbiz.de/10015326365

Liquidity provision, banking, and the allocation of interest rate risk

Hellwig, Martin - 1993

Persistent link: https://www.econbiz.de/10000853730

Measuring interest-rate risk

Fabozzi, Frank J.; Buetow, Gerald W.; Johnson, Robert R. - In: The handbook of fixed income securities, (pp. 183-226). 2005

Persistent link: https://www.econbiz.de/10003054210

Interest rate uncertainty and the predictability of bank revenues

Cepni, Oguzhan; Demirer, Rıza; Gupta, Rangan; Sensoy, Ahmet - In: Journal of forecasting 41 (2022) 8, pp. 1559-1569

Persistent link: https://www.econbiz.de/10013465714

Interest rate uncertainty and the predictability of bank revenues

Cepni, Oguzhan; Demirer, Rıza; Gupta, Rangan; Sensoy, Ahmet - 2021

Persistent link: https://www.econbiz.de/10013041373

Interest Rate Uncertainty and Sovereign Default Risk

Johri, Alok - 2019

Fluctuations in sovereign bond yields display a large global component which is associated with a rise in uncertainty. We build a model of sovereign default in which shocks to the level and to the volatility of the world interest rate help to account for this phenomenon. We calibrate the model...

Persistent link: https://www.econbiz.de/10012894231

CAMEL to CAMELS : the risk of sensitivity

Handorf, William Charles - In: Open economies review 17 (2016) 4, pp. 273-287

Persistent link: https://www.econbiz.de/10011718569

A new interpretation of the condition for precautionary saving in the presence of an interest-rate risk

Magnani, Marco - In: Journal of economics 120 (2017) 1, pp. 79-87

Persistent link: https://www.econbiz.de/10011636121