Back to Search
Start Over
INTEREST RATE RISK.
- Source :
- Journal of Financial & Quantitative Analysis; Nov78, Vol. 13 Issue 4, p719-732, 14p
- Publication Year :
- 1978
-
Abstract
- The article presents an econometric analysis of the stochastic processes involved within assessing interest rate risk within bank capital management. Existing structures of bank management are described, pointing out the inevitable presence of interest rate spread risk. Mathematical analysis within the efficient market theory paradigm is presented in order to determine variances in short and long-rate interactions of bank interest rates and improve interest forecasting methods. Comparisons are also given between the presented model and alternative forecasting processes such as the random walk model.
Details
- Language :
- English
- ISSN :
- 00221090
- Volume :
- 13
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Journal of Financial & Quantitative Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 4757472
- Full Text :
- https://doi.org/10.2307/2330476