Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/319981 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
CASMEF Working Paper Series No. WP 2015/04
Verlag: 
LUISS Guido Carli, Department of Economics and Business, Arcelli Centre for Monetary and Financial Studies, Rome
Zusammenfassung: 
Appropriate methodologies to assess interest rate risk contribute to the sound management of a credit institution and, given the systemic nature of this risk, help to pursue global financial stability. The regulatory models to estimate a bank's exposure to interest rate risk in the banking book are based on very coarse assumptions about the scenarios of interest rate changes. Consistent with the logic underlying the Basel Committee treatment, we develop more sophisticated methodologies to measure the sensitivity of a bank's economic value to changes in interest rates. Our methodologies are based on historical and Monte Carlo simulation and can be applied to publicly available data in a manner replicable by those outside the banking institutions. The performance of both regulatory and more sophisticated methodologies is assessed through a backtesting analysis that allows to verify whether and to what extent their results are both consistent with actual bank exposure and adequate from a prudential perspective. Overall, our empirical evidence suggests that the latter perform better than the former. Based on some major drawbacks that we especially observe within a context of low market rates, the regulatory treatment of the interest rate risk in the banking book should not be considered conclusive: further efforts are required to both supervisors and banks in order to improve the current regulatory framework and to set more effective risk management policies, respectively.
Schlagwörter: 
banks
interest rate risk
regulation
risk management
historical simulation
Monte Carlo simulation
JEL: 
G21
G28
G32
Dokumentart: 
Working Paper

Datei(en):
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