Interest Rate Risk in Banking: a Theoretical and Empirical Investigation through a Systemic Approach (Asset & Liability Management).
- Authors: Scannella, E; Bennardo, D;
- Publication year: 2013
- Type: Articolo in rivista (Articolo in rivista)
- OA Link: http://hdl.handle.net/10447/96653
Abstract
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.