TY - JOUR
T1 - Interest Rate Risk in Banking: a Theoretical and Empirical Investigation through a Systemic Approach (Asset & Liability Management).
AU - Scannella, Enzo
PY - 2013
Y1 - 2013
N2 - 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.
AB - 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.
UR - http://hdl.handle.net/10447/96653
UR - http://dx.medra.org/10.7350/BSR.B07.2013
M3 - Article
SN - 2280-3866
VL - 1
SP - 59
EP - 79
JO - BUSINESS SYSTEMS REVIEW
JF - BUSINESS SYSTEMS REVIEW
ER -