This paper contributes to prior literature and to the current debate concerning recent revisions of the regulatory approach to measuring bank exposure to interest rate risk in the banking book by focusing on assessment of the appropriate amount of capital banks should set aside against this...

This research studies the relationships between the two sides of life insurers' balance sheet and investigates whether and how they changed during recent past years, when European Central Bank monetary policy drove market rates to unprecedented low levels. By using a canonical correlation...

We want to show the relevance of risk management and riskbased functions in banks, as during the recent crisis what has become very clear is that capital requirements for financial institutions were not always adequate given their risks. Under the current set of rules the Internal Capital...