Evaluating the validity of regulatory interest rate risk measures – a simulation approach
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DOI: 10.1016/j.jbankfin.2023.106933
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More about this item
Keywords
Interest rate risk; Banking regulation; Economic value; Net interest income; Stress testing;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
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