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An analysis of commercial bank exposure to interest rate risk

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Author Info
David M. Wright
James V. Houpt
Abstract

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Publisher Info
Article provided by Board of Governors of the Federal Reserve System (U.S.) in its journal Federal Reserve Bulletin.

Volume (Year): (1996)
Issue (Month): Feb ()
Pages: 115-128
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Handle: RePEc:fip:fedgrb:y:1996:i:feb:p:115-128:n:v.82no.2

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Related research
Keywords: Bank profits ; Interest rates;

Cited by:
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  1. Beverly Hirtle, 1997. "Derivatives, Portfolio Composition, and Bank Holding Company Interest Rate Risk Exposure," Journal of Financial Services Research, Springer, vol. 12(2), pages 243-266, October. [Downloadable!] (restricted)
    Other versions:
  2. Gregory E. Sierra & Timothy J. Yeager, 2003. "What does the Federal Reserve’s economic value model tell us about interest rate risk at U.S. community banks?," Supervisory Policy Analysis Working Papers 2003-01, Federal Reserve Bank of St. Louis. [Downloadable!]
  3. Thomas B. King & Daniel A. Nuxoll & Timothy J. Yeager, 2006. "Are the causes of bank distress changing? can researchers keep up?," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 57-80. [Downloadable!]
  4. Yasuo Nishiyama, 2007. "Are Banks Risk-Averse?," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 471-490, Fall. [Downloadable!]
  5. Ila Patnaik & Ajai Shah, 2004. "Interest Rate Volatility and Risk in Indian Banking," IMF Working Papers 04/17, International Monetary Fund. [Downloadable!]
  6. Mathias Drehmann & Steffen Sorensen & Marco Stringa, . "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England. [Downloadable!]
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This page was last updated on 2009-12-9.


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