Looking beyond banks’ average interest rate risk: Determinants of high exposures
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DOI: 10.1016/j.qref.2016.04.008
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- Reghezza, Alessio & Rodriguez d’Acri, Costanza & Pancotto, Livia & Molyneux, Philip, 2020. "Interest rate risk and monetary policy normalisation in the euro area," Working Paper Series 2496, European Central Bank.
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More about this item
Keywords
Interest rate risk; Banks; Tail exposures; Financial crisis;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Statistics
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