This article examines interest rate risk in depository intermediaries and in particular its origin, forms, measurements and management. A critical analysis of gap management, duration and simulation models points out each model's potential and limits, and aims at a rational identification of the ways in which interest rate risk can be faced and hedged.
Rischio di saggio di interesse negli intermedairi creditizi. Analisi dei modelli
COLOMBINI, FABIANO
1994-01-01
Abstract
This article examines interest rate risk in depository intermediaries and in particular its origin, forms, measurements and management. A critical analysis of gap management, duration and simulation models points out each model's potential and limits, and aims at a rational identification of the ways in which interest rate risk can be faced and hedged.File in questo prodotto:
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