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Managing banks' duration gaps when interest rates are stochastic and equity has limited liability

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  • Duan, J.
  • Sealey, C. W.
  • Yan, Y.

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  • 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.
    • Handle: RePEc:eee:reveco:v:8:y:1999:i:3:p:253-265
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    References listed on IDEAS

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    1. 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.
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    4. Rabinovitch, Ramon, 1989. "Pricing Stock and Bond Options when the Default-Free Rate is Stochastic," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(4), pages 447-457, December.
    5. Green, Jerry & Shoven, John B, 1986. "The Effects of Interest Rates on Mortgage Prepayments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(1), pages 41-59, February.
    6. Duan, Jin-Chuan & Moreau, Arthur F. & Sealey, C. W., 1992. "Fixed-rate deposit insurance and risk-shifting behavior at commercial banks," Journal of Banking & Finance, Elsevier, vol. 16(4), pages 715-742, August.
    7. Michael T. Belongia & G. J. Santoni, 1984. "Hedging interest rate risk with financial futures: some basic principles," Review, Federal Reserve Bank of St. Louis, vol. 66(Oct), pages 15-25.
    8. 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.
    9. Ronn, Ehud I & Verma, Avinash K, 1986. "Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model," Journal of Finance, American Finance Association, vol. 41(4), pages 871-895, September.
    10. Herbert L. Baer, 1990. "What we know about the deposit insurance problem," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Jul.
    11. Ronald Giammarino & Eduardo Schwartz & Josef Zechner, 1989. "Market Valuation of Bank Assets and Deposit Insurance in Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 22(1), pages 109-127, February.
    12. 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.
    13. George G. Kaufman, 1984. "Measuring and managing interest rate risk: A primer," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 8(Jan), pages 16-29.
    14. Edward J. Kane, 1985. "The Gathering Crisis in Federal Deposit Insurance," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262611856, December.
    15. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
    16. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1979. "Duration and the Measurement of Basis Risk," The Journal of Business, University of Chicago Press, vol. 52(1), pages 51-61, January.
    17. Marcus, Alan J & Shaked, Israel, 1984. "The Valuation of FDIC Deposit Insurance Using Option-pricing Estimates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(4), pages 446-460, November.
    18. Bierwag, G. O. & Kaufman, George G. & Toevs, Alden, 1983. "Immunization Strategies for Funding Multiple Liabilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(1), pages 113-123, March.
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    Cited by:

    1. Chattha, Jamshaid Anwar & Alhabshi, Syed Musa, 2020. "Benchmark rate risk, duration gap and stress testing in dual banking systems," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    2. Tsai, Jeng-Yan & Hung, Wei-Ming, 2013. "Bank capital regulation in a cap option framework," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 66-74.
    3. 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.
    4. Olga Fullana & David Toscano, 2020. "Performance of Alternative Estimation Procedures of the Implied Equity Duration in a Small Stock Market," Sustainability, MDPI, vol. 12(5), pages 1-13, March.

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