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Interest rate differentials and the structure of banks' balance sheets
Wasserfallen, Walter - In: Finanzmarkt und Portfolio-Management 12 (1998) 4, pp. 423-440
Persistent link: https://www.econbiz.de/10001517364
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Value at Risk, Eigenkapitalausstattung und Zinsstrukturrisiken
Staub, Zeno - In: Finanzmarkt und Portfolio-Management 8 (1994) 3, pp. 381-393
Persistent link: https://www.econbiz.de/10001220870
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Der Einfluß der Zinsstruktur auf die Ertragsentwicklung einer genossenschaftlichen Zentralbank : e. ökonometr. Analyse
Kremer, Arnold - In: Ökonomie und Mathematik : Rudolf Henn zum 65. Geburtstag, (pp. 429-444). 1987
Persistent link: https://www.econbiz.de/10001267142
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Duration & Convexity
Wolke, Thomas - 1996
Persistent link: https://www.econbiz.de/10000944194
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Zinsstrukturen als Rentabilitätsquelle
Kohl, Ernst - In: Die Bank (1989), pp. 12-15
Persistent link: https://www.econbiz.de/10001055840
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Using the Hull and White two factor model in bank treasury risk management
Elliott, Robert J.; Hoek, John van der - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 269-280). 2002
Persistent link: https://www.econbiz.de/10001679453
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Interest rates adjustment in the money and credit markets in Malaysia
Gan, Wee-beng - In: Rivista internazionale di scienze economiche e … 40 (1993) 3, pp. 233-252
Persistent link: https://www.econbiz.de/10001141798
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Bank Portfolio Risk and Interest Rate Spread of Risky Loans : Methodological Analysis
Yu, Hua - 2016
Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and portfolio lending with an attempt to fill the gap...
Persistent link: https://www.econbiz.de/10012993888
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Bank Portfolio Risk and Interest Rate Spread of Risky Loans : A Methodological Analysis
Yu, Hua - 2018
The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...
Persistent link: https://www.econbiz.de/10012920146