𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence

✍ Scribed by By Sotiris K. Staikouras

Book ID
108560458
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
176 KB
Volume
12
Category
Article
ISSN
0963-8008

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Interest rate risk, prepayment risk, and
Interest rate risk, prepayment risk, and the futures market hedging strategies of financial intermediaries
✍ Carl Alan Batlin πŸ“‚ Article πŸ“… 1983 πŸ› John Wiley and Sons 🌐 English βš– 547 KB

e development of futures markets in financial instruments has provided fi-T. nancial intermediaries, among others, with a vehicle for hedging against unanticipated changes in interest rates.' Protection against these fluctuations can benefit lending institutions which have exposed themselves to inte

The components of interest rate swap spr
The components of interest rate swap spreads: Theory and international evidence
✍ Frank Fehle πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 229 KB πŸ‘ 2 views

## Abstract This article contains both a theoretical and an empirical analysis of the components of interest rate swap spreads defined as the difference between the fixed swap rate and the risk‐free rate of equal maturity. The components are determined by expected LIBOR spreads, default risk, and m

Funding liquidity risk and deviations fr
Funding liquidity risk and deviations from interest-rate parity during the financial crisis of 2007–2009
✍ Cho-Hoi Hui; Hans Genberg; Tsz-Kin Chung πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 283 KB πŸ‘ 1 views

Significant deviations from covered interest parity were observed during the financial crisis of 2007-2009. This paper finds that before the failure of Lehman Brothers market-wide funding liquidity risk was the main determinant of these deviations measured by swap-implied US dollar (USD) interest ra