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Estimating The Interest Rate Sensitivity Of Liquid Retail Deposit Values
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Book Synopsis Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values by : James M. O'Brien
Download or read book Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values written by James M. O'Brien and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the most difficult issues in the measurement of bank interest rate risk is the interest rate risk of liquid retail deposits. In this study, estimates are developed for the interest rate sensitivity of the value of interest-bearing checkable deposits (OCDs) and savings deposits defined to include MMDAs and other savings accounts. These interest rate sensitivities are measured by the percentage change in the value of the deposit liability due to a change in market interest rates which, for a permant rate shock and hence parallel yield curve shift, represent the deposit's quot;duration.quot; The value of the deposit liability is equal to the deposit balance net of the present value of economic profits earned on the liability. Because deposit rates adjust upward to market rates more slowly than downward, the interest rate sensitivity of the economic profits from liquid deposit accounts tends to be greater when deposit rates are rising than when they are falling. As a consequence, durations tend to be relatively large when deposit rates are moving up and small when deposit rates are moving down. Durations are estimated for permanent shocks to market rates for aggregated deposit categories and for individual banks. The consequences for deposit interest rate sensitivities are further examined for stochastic, mean-reverting market rates and nonparellel yield curve shifts.
Book Synopsis Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values by : James M. O'Brien (Economiste.)
Download or read book Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values written by James M. O'Brien (Economiste.) and published by . This book was released on 1994 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values by : James O'Brien
Download or read book Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values written by James O'Brien and published by . This book was released on 1994 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values by : James A. O'Brien
Download or read book Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values written by James A. O'Brien and published by . This book was released on 1994 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values by : James O'Brien
Download or read book Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values written by James O'Brien and published by . This book was released on 1994 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Framework for Estimating the Value and Interest Rate Risk of Retail Bank Deposits by : David E. Hutchison
Download or read book A Framework for Estimating the Value and Interest Rate Risk of Retail Bank Deposits written by David E. Hutchison and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A FRAMEWORK FOR ESTIMATING THE VALUE AND INTERE INTEREST RATE RISK OF RETAIL BANK DEPOSITS by : David G. HUTCHISON
Download or read book A FRAMEWORK FOR ESTIMATING THE VALUE AND INTERE INTEREST RATE RISK OF RETAIL BANK DEPOSITS written by David G. HUTCHISON and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Information and Accuracy in Interest-rate-risk Simulation by : Mike Carhill
Download or read book Information and Accuracy in Interest-rate-risk Simulation written by Mike Carhill and published by . This book was released on 1994 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Asset and Liability Management by : Stavros A. Zenios
Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2007-08-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. It is fitting that the series Handbooks in Finance devotes a handbook to Asset and Liability Management. Volume 2 focuses on applications and case studies in asset and liability management.The growth in knowledge about practical asset and liability modeling has followed the popularity of these models in diverse business settings. This volume portrays ALM in practice, in contrast to Volume 1, which addresses the theories and methodologies behind these models. In original articles practitioners and scholars describe and analyze models used in banking, insurance, money management, individual investor financial planning, pension funds, and social security. They put the traditional purpose of ALM, to control interest rate and liquidity risks, into rich and broad-minded frameworks. Readers interested in other business settings will find their discussions of financial institutions both instructive and revealing. * Focuses on pragmatic applications * Relevant to a variety of risk-management industries* Analyzes models used in most financial sectors
Book Synopsis Measuring Rents and Interest Rate Risk in Imperfect Financial Markets by : David E. Hutchison
Download or read book Measuring Rents and Interest Rate Risk in Imperfect Financial Markets written by David E. Hutchison and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional measures of interest rate risk assume that prices of financial assets and liabilities are set in perfectly competitive markets. However, evidence suggests that many retail financial markets do not follow the competitive paradigm. In this paper we employ a general contingent claims framework to value rents earned by banks in demandable retail deposit markets. Our analysis provides a natural and economically meaningful measure of interest rate risk for these imperfectly competitive markets. Using monthly survey data on NOW accounts and MMDAs, we estimate the value of retail deposit rents and deposit durations for over 200 commercial banks.
Book Synopsis Wegweiser zur fahrradfreundlichen Stadt by :
Download or read book Wegweiser zur fahrradfreundlichen Stadt written by and published by . This book was released on 1987 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Asset and Liability Management by : Alexandre Adam
Download or read book Handbook of Asset and Liability Management written by Alexandre Adam and published by John Wiley & Sons. This book was released on 2008-03-11 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for Asset and Liability Managers both for the present day and the future.
Book Synopsis Estimating the Value and Interest Rate Risk of Interest-bearing Transactions Deposits by : James M. O'Brien
Download or read book Estimating the Value and Interest Rate Risk of Interest-bearing Transactions Deposits written by James M. O'Brien and published by . This book was released on 2000 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bank Profitability and Risk-Taking by : Natalya Martynova
Download or read book Bank Profitability and Risk-Taking written by Natalya Martynova and published by International Monetary Fund. This book was released on 2015-11-25 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional theory suggests that more profitable banks should have lower risk-taking incentives. Then why did many profitable banks choose to invest in untested financial instruments before the crisis, realizing significant losses? We attempt to reconcile theory and evidence. In our setup, banks are endowed with a fixed core business. They take risk by levering up to engage in risky ‘side activities’(such as market-based investments) alongside the core business. A more profitable core business allows a bank to borrow more and take side risks on a larger scale, offsetting lower incentives to take risk of given size. Consequently, more profitable banks may have higher risk-taking incentives. The framework is consistent with cross-sectional patterns of bank risk-taking in the run up to the recent financial crisis.
Book Synopsis Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data by : Margherita Bottero
Download or read book Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data written by Margherita Bottero and published by International Monetary Fund. This book was released on 2019-02-28 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study negative interest rate policy (NIRP) exploiting ECB's NIRP introduction and administrative data from Italy, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply-- -and hence the real economy---through a portfolio rebalancing channel. NIRP affects banks with higher ex-ante net short-term interbank positions or, more broadly, more liquid balance-sheets, not with higher retail deposits. NIRP-affected banks rebalance their portfolios from liquid assets to credit—especially to riskier and smaller firms—and cut loan rates, inducing sizable real effects. By shifting the entire yield curve downwards, NIRP differs from rate cuts just above the ZLB.
Book Synopsis Negative Interest Rates by : Luís Brandão Marques
Download or read book Negative Interest Rates written by Luís Brandão Marques and published by International Monetary Fund. This book was released on 2021-03-03 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on negative interest rate policies and covers a broad range of its effects, with a detailed discussion of findings in the academic literature and of broader country experiences.
