Interest Rate Risk in Banking: A Theoretical and Empirical Investigation through a Systemic Approach (Asset & Liability Management)
Business Systems Review, Vol. 2, Issue 1, 2013, pp. 59-79
21 Pages Posted: 28 Jul 2013
Date Written: June 7, 2013
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.
Keywords: Interest Rate Risk, Asset & Liability Management, Banking, Risk Management
JEL Classification: G01, G20, G21, G24, G32, M10, M15
Suggested Citation: Suggested Citation