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Interest rate risk estimation : a new duration-based approach

Bajo, Emanuele; Barbi, Massimiliano; Hullier, David - In: Applied economics 45 (2013) 19/21, pp. 2697-2704

Persistent link: https://www.econbiz.de/10010189364

Bodnar, Gordon M.; Giambona, Erasmo; Graham, John R.; … - In: Management science : journal of the Institute for … 65 (2019) 11, pp. 5001-5026

Persistent link: https://www.econbiz.de/10012125860

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 interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately...

Persistent link: https://www.econbiz.de/10011901434

Using reverse mortgages to hedge longevity and financial risks for life insurers : a generalised immunisation approach

Wang, Jennifer L.; Hsieh, Ming-hua; Chiu, Yu-fen - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 4, pp. 697-717

Persistent link: https://www.econbiz.de/10009503479

Interest rate risk management and dynamic portfolio selections

Sun, Hang; Sun, Wan Gui - In: Modern economy 2 (2011) 4, pp. 674-679

Persistent link: https://www.econbiz.de/10009620650

Managing interest rate risk in the banking book using an optimisation framework

Bogie, Ozdemir; Gokul, Sudarsana - In: Journal of risk management in financial institutions 9 (2016) 4, pp. 373-390

Persistent link: https://www.econbiz.de/10011663117

Balance-sheet interest rate risk : a weighted Lp approach

Gajek, Lesław; Krajewska, Elzbieta - In: Journal of risk 21 (2018/2019) 1, pp. 91-104

Persistent link: https://www.econbiz.de/10011980294

Longevity risk management and the development of a value-based longevity index

Chang, Yang; Sherris, Michael - In: Risks : open access journal 6 (2018) 1, pp. 1-20

basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …

Persistent link: https://www.econbiz.de/10011811547

Factor-based tactical bond allocation and interest rate risk management

Thomann, Andreas - In: The journal of investment strategies 8 (2019) 3, pp. 49-79

Persistent link: https://www.econbiz.de/10012426012

Factors impacting the interest rate derivatives usage in Indian commercial banks

Kumar, Dilip - In: Theoretical economics letters 7 (2017) 3, pp. 596-614

Persistent link: https://www.econbiz.de/10011674445

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