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Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter
16 references·2 citing·41 second hop
Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter (2009)Quantifying the Interest Rate Risk of Ban…Financial Stability Review (2011)Financial Stability ReviewInterest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure (2009)Interest rate risk of German …Interest rate derivatives at commercial banks: An empirical investigation (2006)Interest rate derivatives at …A Multi-Factor Model for the Valuation and Risk Management of Demand Deposits (2005)A Multi-Factor Model for the …What Constitutes a Financial System in General and the German Financial System in Particular? (2004)What Constitutes a Financial …Risk management of non-maturing liabilities (2003)Risk management of non-maturi…Interest Rate Risk of European Financial Corporations (2000)Interest Rate Risk of Europea…Estimating the Value and Interest Rate Risk of Interest-Bearing Transactions Deposits (2000)Estimating the Value and Inte…Disintermediation and the Role of Banks in Europe: An International Comparison (1999)Disintermediation and the Rol…The arbitrage-free valuation and hedging of demand deposits and credit card loans (1998)The arbitrage-free valuation …History of the Eighties: Lessons for the Future (1997)History of the Eighties: Less…The Association Between Stock-Price Interest Rate Sensitivity and Disclosures About Derivative Instruments (1996)The Association Between Stock…Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits (1996)Measuring Rents and Interest …An Analysis of Commercial Bank Exposure to Interest Rate Risk (1996)An Analysis of Commercial Ban…Contemporary Banking Theory (1993)Contemporary Banking TheorySystematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…Risk management with a duration gap approach (2020)Risk management with a durati…Duration model for maturity gap risk management in Islamic banks (2020)Duration model for maturity g…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The dynamics of trade and competition (2008)Housing Market Spillovers: Evidence from an Estimated DSGE Model (2010)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2010)The valuation of options for alternative stochastic processes (1976)Bank Deposit Rate Clustering: Theory and Empirical Evidence (1999)Deposit market competition, wholesale funding, and bank risk (2013)Banking on Deposits: Maturity Transformation Without Interest Rate Risk (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Intra-industry information transfers associated with earnings releases (1981)Introduction to financial forecasting (1996)Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Operations in Financial Services—An Overview (2010)Banking on Deposits: Maturity Transformation without Interest Rate Risk (2018)Bank Runs, Deposit Insurance, and Liquidity (1983)Financial Intermediation and Delegated Monitoring (1984)Finance and Growth: Schumpeter Might Be Right (1993)Finance and the sources of growth (2000)Stock markets, banks, and growth: Panel evidence (2003)Chapter 12 Finance and Growth: Theory and Evidence (2005)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Econometric Analysis of Cross Section and Panel Data (2001)Originate-to-Distribute Model and the Subprime Mortgage Crisis (2010)Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies (2013)Islamic financing and bank risks: The case of Malaysia (2004)Characteristics of Securitizations that Determine Issuers' Retention of the Risks of the Securitized Assets (2007)The Effects of IFRS 7 Adoption on Bank Disclosure in Europe (2009)Bank profitability and the business cycle (2008)Bank risk and monetary policy (2009)Global Banking Glut and Loan Risk Premium (2012)The Determinants of Banking Crises in Developing and Developed Countries (1998)Relationship Banking: What Do We Know? (2000)How does capital affect bank performance during financial crises? (2013)Fussing and Fuming over Fannie and Freddie: How Much Smoke, How Much Fire? (2005)Inconsistent Regulators: Evidence from Banking * (2014)Competition and bank stability (2017)
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References

  • 1993Contemporary Banking Theory1,252 cited
  • 2011Financial Stability Review1,164 cited
  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
  • 1999Disintermediation and the Role of Banks in Europe: An International Comparison244 cited
  • 2006Interest rate derivatives at commercial banks: An empirical investigation220 cited
  • 2005A Multi-Factor Model for the Valuation and Risk Management of Demand Deposits145 cited
  • 1997History of the Eighties: Lessons for the Future130 cited
  • 1996Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits127 cited
  • 1996The Association Between Stock-Price Interest Rate Sensitivity and Disclosures About Derivative Instruments122 cited
  • 1998The arbitrage-free valuation and hedging of demand deposits and credit card loans120 cited
  • 1996An Analysis of Commercial Bank Exposure to Interest Rate Risk71 cited
  • 2004What Constitutes a Financial System in General and the German Financial System in Particular?71 cited
  • 2003Risk management of non-maturing liabilities66 cited
  • 2000Interest Rate Risk of European Financial Corporations64 cited
  • 2009Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure

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52 cited
  • 2000Estimating the Value and Interest Rate Risk of Interest-Bearing Transactions Deposits52 cited
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    • 2020Risk management with a duration gap approach12 cited
    • 2020Duration model for maturity gap risk management in Islamic banks11 cited