This paper points out the limits of the current regulatory approaches, warning that the different results deriving from the adoption of the different regulatory methodologies for the same bank can give rise to arbitrage opportunities.
Measuring the interest rate risk in the banking book: beyond the drawbacks of the current regulatory framework / Curcio, Domenico; Gianfrancesco, I.. - (2013). (Intervento presentato al convegno Convegno ADEIMF (Associazione Docenti Economia Intermediari Mercati Finanziari) 2013 tenutosi a Lecce nel 20-21 settembre 2013).
Measuring the interest rate risk in the banking book: beyond the drawbacks of the current regulatory framework
CURCIO, DOMENICO;
2013
Abstract
This paper points out the limits of the current regulatory approaches, warning that the different results deriving from the adoption of the different regulatory methodologies for the same bank can give rise to arbitrage opportunities.File in questo prodotto:
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