The effects of a change in interest rates on the reclassification of securities: an empirical analysis
Marchetti, Federico (A.A. 2022/2023) The effects of a change in interest rates on the reclassification of securities: an empirical analysis. Tesi di Laurea in Advanced corporate finance, Luiss Guido Carli, relatore Pierluigi Murro, pp. 129. [Master's Degree Thesis]
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Abstract/Index
Accounting background. HFT vs AFS vs HTM. Fair value vs amortized cost. Reclassifying from AFS to HTM. Basel III capital requirements. Literature and assumptions. Related literature. Assumptions. Do interest rates changes lead banks to reclassify more under HTM? Data and sample size. Methodological approach. Hypothesis and findings. Effects of the reclassification upon the volatility of the regulatory capital. Assumptions. Methodological approach. Hypothesis and findings. Effects of the reclassification upon the market liquidity. What liquidity is and how it is measured. Data sample size and methodological approach. Statistical significance of the three general models. Bank-based regressions.
References
Bibliografia: pp. 70-71.
| 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: | Advanced corporate finance |
| Thesis Supervisor: | Murro, Pierluigi |
| Thesis Co-Supervisor: | Vulpiani, Marco |
| Academic Year: | 2022/2023 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 05 Dec 2023 16:40 |
| Last Modified: | 05 Dec 2023 16:40 |
| URI: | https://tesi.luiss.it/id/eprint/37242 |
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