Interest rate risk in the banking book: evidence on IRRBB exposure from the earnings perspective of a panel of Italian banks
Leo, Carlotta (A.A. 2020/2021) Interest rate risk in the banking book: evidence on IRRBB exposure from the earnings perspective of a panel of Italian banks. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 100. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Evolution of the interest rate risk on banking book’s regulatory treatment. Definition of IRRBB. Components of IRRBB. Regulatory references for IRRBB. Guidelines for the management of interest rate risk in the banking book. Methods to measure IRRBB. Measurement methods. Repricing gap model. Duration gap model. Instruments for hedging interest rate risk. Evidence on interest rate risk exposure from a panel of Italian banks. Description of the panel. Methodology of the analysis. Supervisory outlier test under an earnings perspective.
References
Bibliografia: pp. 84-85.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Risk management |
| Thesis Supervisor: | Penza, Daniele |
| Thesis Co-Supervisor: | Cerri, Francesco |
| Academic Year: | 2020/2021 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 12 May 2022 10:56 |
| Last Modified: | 12 May 2022 10:56 |
| URI: | https://tesi.luiss.it/id/eprint/32269 |
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