6533b7d5fe1ef96bd1264c7c
RESEARCH PRODUCT
Interest Rate Risk in Banking: a Theoretical and Empirical Investigation through a Systemic Approach (Asset & Liability Management).
Enzo ScannellaD. Bennardosubject
Liability Management Banking Risk Management.Settore SECS-P/11 - Economia Degli Intermediari FinanziariInterest Rate Risk Asset &description
The paper provides a theoretical analysis of the interest rate risk in banking through a systemic approach that is known in literature as “asset & liability management” approach. The paper provides also an empirical investigation on the exposure of banks to interest rate risk, using three different scenarios: parallel shift, slope shift, and bump shift of interest rate curves.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2013-01-01 |