Add to ORKGThe objective of this research is twofold: first, to analyze the treatment of non-maturity deposits within the regulatory framework provided by the Basel Committe to measure the interest rate risk in the banking book; second, consistently with the criteria defined by the supervisory authority, to develop a model for distributing non-maturity deposits across the regulatory maturity ladder that accounts for their actual behavior in terms of both price sensitivity to changes in market rates and volume stability over time
To reflect changes in financial markets conditions, the Basel Committee on Banking Supervision has r...
This paper points out the limits of the current regulatory approaches, warning that the different re...
A valuation model is developed within an interest rate contingent claims framework to estimate NOW a...
The objective of this research is twofold: first, to analyze the treatment of non-maturity deposits ...
Because publicly available measures of deposit runoff risk are scarce, regulators’ models to measure...
This thesis covers an extended overview about interest rate risk (IRR) in general and two essays on ...
The essay provides a basic framework for the measurement of interest rate risk, that is consistent w...
We integrate Basel II (and III) regulations into the industrial organization approach to banking and...
A new proposal by the Basel Committee on Banking Supervision for setting the amount of capital banks...
This paper analyzes how the current low-interest-rate environment affects the interest rate risk of ...
This study discusses issues related to trends and changes in the normative basis regulating risk ma...
Univerzita Karlova v Praze Fakulta sociálních věd Institut ekonomických studií Název disertační prác...
Non-maturity deposits are a major source of funds for traditional banks. The deposit valuation model...
The goal of this paper is to examine in an option theory framework the implications of deposit rate ...
The goal of this paper is to examine in an option theory framework the implications of deposit rate ...
To reflect changes in financial markets conditions, the Basel Committee on Banking Supervision has r...
This paper points out the limits of the current regulatory approaches, warning that the different re...
A valuation model is developed within an interest rate contingent claims framework to estimate NOW a...
The objective of this research is twofold: first, to analyze the treatment of non-maturity deposits ...
Because publicly available measures of deposit runoff risk are scarce, regulators’ models to measure...
This thesis covers an extended overview about interest rate risk (IRR) in general and two essays on ...
The essay provides a basic framework for the measurement of interest rate risk, that is consistent w...
We integrate Basel II (and III) regulations into the industrial organization approach to banking and...
A new proposal by the Basel Committee on Banking Supervision for setting the amount of capital banks...
This paper analyzes how the current low-interest-rate environment affects the interest rate risk of ...
This study discusses issues related to trends and changes in the normative basis regulating risk ma...
Univerzita Karlova v Praze Fakulta sociálních věd Institut ekonomických studií Název disertační prác...
Non-maturity deposits are a major source of funds for traditional banks. The deposit valuation model...
The goal of this paper is to examine in an option theory framework the implications of deposit rate ...
The goal of this paper is to examine in an option theory framework the implications of deposit rate ...
To reflect changes in financial markets conditions, the Basel Committee on Banking Supervision has r...
This paper points out the limits of the current regulatory approaches, warning that the different re...
A valuation model is developed within an interest rate contingent claims framework to estimate NOW a...