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Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure pdf

Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure pdf

Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure pdf

... variables retain the direction of interest rate risk exposure. Financial Institutions Center Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure by Beverly Hirtle 96-43 -17- may ... higher-than-average interest rate risk exposures, given the BHC’s basic portfolio composition. Whether this correlation results because BH...

Ngày tải lên: 29/03/2014, 13:20

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Tài liệu Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations doc

Tài liệu Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations doc

... the median bank. 4.3 The Usage of Interest Rate Derivatives As emphasized, for e x ampl e , by Gorton and Rosen [1995], Choi and Elyasiani [1997] and Purnanandam [2007], banks can, and in many ... their 21 interest r ate risk profile. Banks may choose do so for the purpose of hedging interest rate risk in their loan portfolios or in order to take specific positions on fu...

Ngày tải lên: 17/02/2014, 03:20

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Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc

Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc

... No Source: Bank of England, Bloomberg, and DataStream. 226 International Journal of Central Banking September 2010 two alternative surprise measures—based on three-month interbank interest rates (IB) and ... −71082 (continued) Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ Michael Melvin, a Christian Saborowski, b,c Michael Sager, c,e and Mark...

Ngày tải lên: 06/03/2014, 14:20

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The Sensitivity of Bank Net Interest Margins and Profitability to Credit, Interest-Rate, and Term-Structure Shocks Across Bank Product Specializations potx

The Sensitivity of Bank Net Interest Margins and Profitability to Credit, Interest-Rate, and Term-Structure Shocks Across Bank Product Specializations potx

... net interest margins. Madura and Zarruk (1995) find that bank interest- rate risk varies among countries, a finding that supports the need to capture interest- rate risk differentials in the risk- based ... control of the bank and can be changed overnight. In contrast to banks’ ability to make portfolio adjustments, banks have little control over market interest- r...

Ngày tải lên: 15/03/2014, 14:20

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

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

... Reserve Bank of Chicago Staff Memoranda Choi, J., Elyasiani, E. and Kopecky, K. (1992) “The Sensitivity of Bank Stock Returns to Market, Interest and Exchange Rate Risks”, Journal of Banking and ... Elyasiani, E. and Saunders, A. (1996) “Derivative Exposure and the Interest Rate and Exchange Rate Risks of US Banks”, New York University Salomon Center Working Pap...

Ngày tải lên: 22/03/2014, 17:20

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Forecast uncertainty and the Bank of England interest rate decisions ppt

Forecast uncertainty and the Bank of England interest rate decisions ppt

... the MPC interest rate decisions and the memb er interest rate average, these interest rate reactions are not significantly different from the OLS estimates in terms of a 10% confidence band. Although ... England fan chart one-year-ahead input standard deviations for inflation and output growth, when analyzing the Bank of England Monetary Policy Commitee members decisions in a pa...

Ngày tải lên: 22/03/2014, 23:20

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Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx

Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx

... earnings and balance composition, and the banks’ application of derivatives have a significant impact on their exposure to interest rate risk. In this paper, however, we are not interested in the banks’ ... 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

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An Analysis of Commercial Bank Exposure to Interest Rate Risk doc

An Analysis of Commercial Bank Exposure to Interest Rate Risk doc

... the distributions of interest rate risk for com- mercial banks and thrift institutions, we can compare their exposures and consider the relative importance of interest rate risk to each group. ... broadly measuring the interest rate risk exposure of institutions that do not have unusual or complex asset characteristics. SOURCES OF INTEREST RATE RISK Interest r...

Ngày tải lên: 06/03/2014, 02:21

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SUPERVISORY AND REGULATORY GUIDELINES: PU42-0408 Interest Rate Risk pot

SUPERVISORY AND REGULATORY GUIDELINES: PU42-0408 Interest Rate Risk pot

... organizations and those with higher interest rate risk exposure or holding of complex instruments with significant interest- rate option characteristics may require more elaborate and formal interest rate ... nature and complexities of their asset and liability position, their interest rate risk position, their risk tolerance and their The Central Bank...

Ngày tải lên: 15/03/2014, 01:20

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THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx

THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx

... B. (1996) Derivatives, portfolio composition and bank holding company interest rate risk exposure [Internet] Available from:<http://www.fic/wharton/ upenn/edu/fic/papers/96/961943 .pdf& gt; ... recently and to make interest rate risk management more effective. Using derivatives can thus be considered as a part of any bank s interest rate risk manageme...

Ngày tải lên: 15/03/2014, 01:20

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