The objective of this research is twofold: first, to analyze the treatment of non-maturity deposits within the regulatory framework provided by the Basel Committe to measure the interest rate risk in the banking book; second, consistently with the criteria defined by the supervisory authority, to develop a model for distributing non-maturity deposits across the regulatory maturity ladder that accounts for their actual behavior in terms of both price sensitivity to changes in market rates and volume stability over time.
Non-maturity deposits and banks’ exposure to the interest rate risk: issues arising from the Basel regulatory framework / Cocozza, Rosa; Curcio, Domenico; Gianfrancesco, I.. - (2012). (Intervento presentato al convegno XXI International Conference on Money, Banking and Finance tenutosi a Roma nel 10-11 dicembre 2012).
Non-maturity deposits and banks’ exposure to the interest rate risk: issues arising from the Basel regulatory framework
COCOZZA, ROSA;CURCIO, DOMENICO;
2012
Abstract
The objective of this research is twofold: first, to analyze the treatment of non-maturity deposits within the regulatory framework provided by the Basel Committe to measure the interest rate risk in the banking book; second, consistently with the criteria defined by the supervisory authority, to develop a model for distributing non-maturity deposits across the regulatory maturity ladder that accounts for their actual behavior in terms of both price sensitivity to changes in market rates and volume stability over time.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
