Banks' interest rate risk: the net interest income perspective versus the market value perspective

DOI10.1080/14697688.2011.630326zbMath1311.91183OpenAlexW2002068742MaRDI QIDQ5245415

Christoph Memmel

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.630326

zbMATH Keywords

interest ratesempirical financefixed incomeasset liability modelling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Cites Work

• Forecasting the term structure of government bond yields

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