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Rising Interest Rate Risk at US Banks

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Average interest rate risk in the banking system has been increasing since the end of the financial crisis and is almost back to its pre-recession level. But the increase has not occurred uniformly at large and small banks. At big banks, risk, while increasing, hasn’t yet reached its pre-recession high. It’s in small banks where we see a steep rise in interest rate risk. The big banks’ exposure is being driven mainly by their liabilities. At small banks, it is coming from both their assets and liabilities.

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  • Bednar, William & Elamin, Mahmoud, 2014. "Rising Interest Rate Risk at US Banks," Economic Commentary, Federal Reserve Bank of Cleveland, issue June.
  • Handle: RePEc:fip:fedcec:00013
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    1. James V. Houpt & James A. Embersit, 1991. "A method for evaluating interest rate risk in U.S. commercial banks," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Aug, pages 625-637.
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    Cited by:

    1. Josef Jílek, 2016. "‘Fair Value’ of Core Deposits in the EU version of IFRS: A Critical Review," Australian Accounting Review, CPA Australia, vol. 26(3), pages 312-325, September.
    2. William C Handorf, 2016. "CAMEL to CAMELS: The risk of sensitivity," Journal of Banking Regulation, Palgrave Macmillan, vol. 17(4), pages 273-287, November.
    3. Kristian Blickle, 2017. "Local Banks, Credit Supply, and House Prices," Working Papers on Finance 1811, University of St. Gallen, School of Finance.

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