IDEAS home Printed from https://ideas.repec.org/a/fip/fedfer/y1983isprp20-35.html
   My bibliography  Save this article

Gap management: managing interest rate risk in banks and thrifts

Author

Listed:
  • Alden L. Toevs

Abstract

No abstract is available for this item.

Suggested Citation

  • Alden L. Toevs, 1983. "Gap management: managing interest rate risk in banks and thrifts," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-35.
    • Handle: RePEc:fip:fedfer:y:1983:i:spr:p:20-35
    as

    Download full text from publisher

    File URL: http://www.frbsf.org/publications/economics/review/1983/83-2_20-35.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Weil, Roman L, 1973. "Macaulay's Duration: An Appreciation," The Journal of Business, University of Chicago Press, vol. 46(4), pages 589-592, October.
    2. Hopewell, Michael H & Kaufman, George G, 1973. "Bond Price Volatility and Term to Maturity: A Generalized Respecification," American Economic Review, American Economic Association, vol. 63(4), pages 749-753, September.
    3. Adrian W. Throop, 1981. "Interest rate forecasts and market efficiency," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-43.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. James Gilkeson & Sylvia Hudgins & Craig Ruff, 1997. "Testing the effectiveness of regulatory interest rate risk measurement," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 27-37, June.
    2. Jin-Chuan, Duan & Moreau, Arthur F. & Sealey, C. W., 1995. "Deposit insurance and bank interest rate risk: Pricing and regulatory implications," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1091-1108, September.
    3. Ludwig Hausse & Martin Rohleder & Marco Wilkens, 2016. "Systemic interest rate and market risk at US banks," Journal of Business Economics, Springer, vol. 86(8), pages 933-961, November.
    4. Ahmed, Anwer S. & Beatty, Anne & Bettinghaus, Bruce, 2004. "Evidence on the efficacy of interest-rate risk disclosures by commercial banks," The International Journal of Accounting, Elsevier, vol. 39(3), pages 223-251.
    5. Michael T. Belongia & G. J. Santoni, 1987. "Interest Rate Risk, Market Value, And Hedging Financial Portfolios," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 47-55, March.
    6. Duan, J. & Sealey, C. W. & Yan, Y., 1999. "Managing banks' duration gaps when interest rates are stochastic and equity has limited liability," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 253-265, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. George G. Kaufman, 1980. "Duration, Planning Period, And Tests Of The Capital Asset Pricing Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 1-9, March.
    2. Pami Dua & Nishita Raje & Satyananda Sahoo, 2004. "Interest Rate Modeling and Forecasting in India," Occasional papers 3, Centre for Development Economics, Delhi School of Economics.
    3. Kin-Boon Tang & Shao-Jye Wong & Shih-Kuei Lin & Szu-Lang Liao, 2020. "Excess volatility and market efficiency in government bond markets: the ASEAN-5 context," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 154-165, March.
    4. Vahidreza Yousefi & Siamak Haji Yakhchali & Jolanta Tamošaitienė, 2019. "Application of Duration Measure in Quantifying the Sensitivity of Project Returns to Changes in Discount Rates," Administrative Sciences, MDPI, vol. 9(1), pages 1-14, February.
    5. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722, Elsevier.
    6. Auray, Stéphane & Eyquem, Aurélien, 2019. "On The Role Of Debt Maturity In A Model With Sovereign Risk And Financial Frictions," Macroeconomic Dynamics, Cambridge University Press, vol. 23(5), pages 2114-2131, July.
    7. Bluhm, Marcel & Georg, Co-Pierre & Krahnen, Jan-Pieter, 2016. "Interbank intermediation," Discussion Papers 16/2016, Deutsche Bundesbank.
    8. G. J. Santoni, 1984. "Interest rate risk and the stock prices of financial institutions," Review, Federal Reserve Bank of St. Louis, vol. 66(Aug), pages 12-20.
    9. Sergio Ortobelli & Sebastiano Vitali & Marco Cassader & Tomáš Tichý, 2018. "Portfolio selection strategy for fixed income markets with immunization on average," Annals of Operations Research, Springer, vol. 260(1), pages 395-415, January.
    10. Lee, Hei Wai & Xie, Yan Alice & Yau, Jot, 2011. "The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 441-451, June.
    11. Pami Dua & Nishita Raje & Satyananda Sahoo, 2008. "Forecasting Interest Rates in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 2(1), pages 1-41, March.
    12. Nicolás Cachanosky & Peter Lewin, 2016. "Financial Foundations of Austrian Business Cycle Theory," Advances in Austrian Economics, in: Studies in Austrian Macroeconomics, volume 20, pages 15-44, Emerald Group Publishing Limited.
    13. Olivier de La Grandville, 2001. "Immunization of Bond Portfolios: Some New Results," Economics Discussion / Working Papers 01-26, The University of Western Australia, Department of Economics.
    14. Ahmed, Anwer S. & Takeda, Carolyn, 1995. "Stock market valuation of gains and losses on commercial banks' investment securities An empirical analysis," Journal of Accounting and Economics, Elsevier, vol. 20(2), pages 207-225, September.
    15. Gantenbein,, 2016. "Unternehmerisches Finanzmanagement – Meilensteine der Entwicklung," Die Unternehmung - Swiss Journal of Business Research and Practice, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 70(4), pages 387-406.
    16. K. Chau & S. Wong & C. Yiu, 2005. "Adjusting for Non-Linear Age Effects in the Repeat Sales Index," The Journal of Real Estate Finance and Economics, Springer, vol. 31(2), pages 137-153, September.
    17. Timothy Q. Cook & Thomas K. Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, vol. 76(Sep), pages 3-26.
    18. Francisco Sotos, 2003. "Interest risk and default risk: A conditional volatility study," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(1), pages 56-63, February.
    19. Tom Barnes, 1985. "Markowitz Allocation–Fixed Income Securities," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(3), pages 181-191, September.
    20. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedfer:y:1983:i:spr:p:20-35. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Federal Reserve Bank of San Francisco Research Library (email available below). General contact details of provider: https://edirc.repec.org/data/frbsfus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.