interest rate exposure
Determinants of interest rate exposure of Spanish banking industry
... of exposure to interest rate risk during the period of study, although the exposure pattern is not stable across banks and across ...negative interest rate exposure ...
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Interest rate exposure of Spanish banks: A nonparametric analysis
... banks’ interest rate exposure is tackled from a completely different perspective, using nonparametric estimation ...in interest rates and bank stock returns without adhering to a particular ...
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The Interest Rate Exposure of Nonfinancial Corporations
... the interest rate exposure of non- financial ...significant interest rate exposure of nonfinancial corporations with regard to changes in the short-term and long-term riskless ...
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Determinants of interest rate exposure – A study of Eurozone banks
... Interest rate risk refers to the risk that the relative value of an interest-bearing liability or asset will change due to a change in interest rate ...if interest rates ...
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Interest Rate Exposure and Bank Mergers: A Preliminary Empirical Analysis
... select interest-rate exposures different from their peers as a strategic choice, hoping to use this difference to their competitive ...exchange rate exposures. The Appendix to this paper describes ...
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Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure
... banks’ exposure to interest rate risk, derived from the banks’ internal models, and, therefore, do not have to estimate ...bank’s exposure to interest rate ...of interest ...
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Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy
... bank’s exposure to interest rate risk, but it is a noisy ...in interest income and Income Gap × ...fixed rate debt, that reprices every year on June ...short rate increases by ...
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Exchange Rate Exposure
... the exposure coefficient stays the same across the three ...the exposure coefficient switches sign across at least one subsample, suggesting that both the incidence of exposure ...of exposure ...
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Interest Rate Volatility: A Consol Rate Approach
... In this paper, we propose a new methodology to estimate the volatility of interest rates in the euro area money market. In particular, our approach aims at avoiding the limitations of market implied volatilities, ...
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Essays on exchange rate and interest rate fluctuations
... We use dynamic factor modelling and maximum likelihood estimation techniques in an effort to investigate the common fluctuations in the money market rate differentials of a group of majo[r] ...
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The Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees
... Contrasting the just-mentioned approach, Grosen and Jorgensen (2000) consider cliquet- style guarantees and introduce a model that takes into account an insurer’s use of the average interest principle. In addition ...
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Interest rate swaps and economic exposure
... In order to fund the project, the firm borrows I dollars by issuing debt. The financing choices, denoted by m, are limited to short-term debt (S), long-term debt (L), and a combination of debt and interest ...
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Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
... risk-free rate for one and only one ...ON rate and the risk-free rate of currency (j) are the same, and hence y (j) = 0, then the forward curve of y USD is fixed by y USD (0, t) = −y (j,USD) (0, ...
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An Equity Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile
... deterministic interest rates has established itself as one of the benchmark models for pricing equity ...deterministic interest rates in the Heston model is rather harmless when equity products with a short ...
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Incomplete markets and households’ exposure to interest rate and inflation risk: implications for the monetary policy maker
... against interest rate and infl ation risk, creating a trade-off between price level and debt-servicing ...hump-shaped interest rate response to shocks, signifi cantly outperform standard ...
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Interest Rate Swaps Conventions
... = the most recently available CPI index at the time the nth payment is due = the most recently available CPI index at the start date (base CPI) Index Factor = the fixed escalation rate on which the swap is quoted ...
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A Study on the Dynamics of Interest Rate
... the interest rate. If the interest rate is set to an exogenous level without adjusting the money supply (as the monetary policy discussed in [4]), the economy may converge to a specified ...
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THE INTEREST RATE AND ISLAMIC BANKING
... banks to produce a more efficient banking system for the economy as a whole. From the banks' standpoint, this will reduce their net profit. But ultimately it will be compensated by positive economic effects because the ...
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Deposit Interest Rate Calculator
... 86 construction loan for 87 longer payday loans 88 cash cheque instantly 89 direct lender for bad credit. 90 vericrest financial loan modification 91 loan graduate[r] ...
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Asset Class. Interest Rate
... security interest rate swaps are agreements between two counterparties based on a bundle of mortgages: commercial, residential or other ...The interest rate payments are based on the monthly ...
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