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...
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...
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...
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...
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...
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...
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...
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...
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...
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...