Interest Rate Risk and Bank Common Stock Returns: Evidence from the Greek Banking Sector pot

... that play the key intermediary role in the transfer of interest rate risk in the derivatives markets. To examine the extent to which the reaction of bank stock returns to interest rate shocks is ... for the exposure to interest rate risk also explain a nontrivial portion of the heterogeneity in banks’ market betas, suggesting that this may indeed be the cas...

Ngày tải lên: 17/02/2014, 03:20

... where R i represents the expected return on a secu- rity, R f is the risk- free rate, ȕ i is the risk of the asset where ( Rm-Rf) is the market risk premium and R m the market rate of return. In practice the interest ... and the CAPM to show how interest rates taken together with investor risk perceptions, ex- pected future earnings and growth rates, af...

Ngày tải lên: 15/03/2014, 01:20

... Spain and Entrop et al. (2008) for Germany investigate the determinants of the banks’ exposure to interest rate risk. They find that the belonging to certain banking groups, the banks’ size, their ... variation in the actual interest rate exposure of a sample of more than 1,000 German banks. Another method consists in inferring the banks’ interest rate risk expos...

Ngày tải lên: 16/02/2014, 06:20

... innovations and the evolution in banking markets have made the measurement of interest rate risk even more challenging; nonetheless, the limited banking industry data suggest that the majority of bank risk profiles ... OF INTEREST RATE RISK Interest rate risk is, in general, the potential for changes in rates to reduce a bank s earnings or value. As financ...

Ngày tải lên: 06/03/2014, 02:21

... forecasts. The final five columns in the table indicate whether the interest rate announcement surprised the market according to the respective measure. The variable “IB10” (“IB15”) indicates whether the change ... by the market, as measured by the Bloomberg survey. For the other eighteen instances, the market was either sur- prised that the MPC changed the policy...

Ngày tải lên: 06/03/2014, 14:20

... interest rate risk position, their risk tolerance and their The Central Bank of the Bahamas Interest Rate Risk BANK SUPERVISION DEPARTMENT Page 6 of 10 risk profile. Nonetheless, a ... assess the impact of interest The Central Bank of the Bahamas Interest Rate Risk BANK SUPERVISION DEPARTMENT Page 3 of 10 rate changes on activi...

Ngày tải lên: 15/03/2014, 01:20

... due to the effect of changes in the discount rate • (interest rate) on the value of financial instruments, hedges and the return on projects. 2. Sources of interest rate risk Interest rate risk ... expect interest rates to fall. Outright interest rate risk • – the impact of a change in the overall level of interest rate risk. For example, if an in...

Ngày tải lên: 15/03/2014, 02:20

... borrow from the same bank. A final set of robustness checks are presented in Table 6. The first of these considers the hypothesis that the lender dictates the interest rate exposure of the loan. ... and borrowers are potentially exposed to interest rate fluctuations. It therefore seems plausible that the allocation of risk in the loan contract depends in part...

Ngày tải lên: 15/03/2014, 10:20

... interest rate. Chart 3.1 also shows the two common cycles using this particular normalisation. 25 To see the importance of the trend and cycles for each real interest rate we write down the common ... only the German rate entered the cofeature vector ie that it is the single common trend. It would require that neither lags of the first differences of each rea...

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 15/02/2014, 05:20