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.
|Number of pages||21|
|Journal||BUSINESS SYSTEMS REVIEW|
|Publication status||Published - 2013|