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

See all articles by Enzo Scannella

Enzo Scannella

University of Palermo - d/SEAS

Dario Bennardo

University of Palermo - Graduate student in Economics and Finance

Date Written: June 7, 2013

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.

Keywords: Interest Rate Risk, Asset & Liability Management, Banking, Risk Management

JEL Classification: G01, G20, G21, G24, G32, M10, M15

Suggested Citation

Scannella, Enzo and Bennardo, Dario, Interest Rate Risk in Banking: A Theoretical and Empirical Investigation through a Systemic Approach (Asset & Liability Management) (June 7, 2013). Business Systems Review, Vol. 2, Issue 1, 2013, pp. 59-79. Available at SSRN: https://ssrn.com/abstract=2295417

Enzo Scannella (Contact Author)

University of Palermo - d/SEAS ( email )

Viale delle Scienze, edificio 13
Palermo, 90124
Italy
+3909123895305 (Phone)
+39091489346 (Fax)

HOME PAGE: http://www.enzoscannella.com

Dario Bennardo

University of Palermo - Graduate student in Economics and Finance ( email )

Viale delle Scienze
Palermo, 90128
Italy

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