Matches in SemOpenAlex for { <https://semopenalex.org/work/W1710508923> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W1710508923 endingPage "164" @default.
- W1710508923 startingPage "149" @default.
- W1710508923 abstract "Introduction Since the early 1980s, American banks have been using ‘economic-value-of-equity’ (EVE) models to help measure and manage their banking-book interest rate risk (IRR). These models estimate the fair value of the institutions' financial instruments as a function of the current interest rate environment (the ‘base-case’ EVE). The modeller then specifies alternative stress scenarios, and estimates the resulting change from base-case EVE. This change is usually expressed as a percentage of the base-case estimate. Banks develop and use internal EVE models to quantify and control their interest rate risk. For executive management and bank supervisors, a common benchmark interest rate scenario is an instantaneous plus/minus 200-basis-point shock to the current yield curve. That benchmark is typically used to set a risk limit, e.g., the banking-book IRR manager will tolerate an exposure of no more than 20 per cent of base-case EVE for the 200-basis-point shock. Banking supervisors also have their own EVE models. The OCC uses these to estimate banks' exposure under a common set of assumptions, allowing peer comparisons. This provides a basis for supervisory actions against banks that have excessive exposures relative to industry norms. For the middle management responsible for interest rate risk, EVE models are used for day-to-day management. For that purpose, the shocks are estimated in a comprehensive range, e.g., 10-basis-point increments up to the 100-basis-point shock, or whatever is deemed the maximum shock likely before the manager can react." @default.
- W1710508923 created "2016-06-24" @default.
- W1710508923 creator A5031496834 @default.
- W1710508923 date "2009-12-24" @default.
- W1710508923 modified "2023-09-25" @default.
- W1710508923 title "Stress-testing US banks using economic-value-of-equity (EVE) models" @default.
- W1710508923 cites W2008946009 @default.
- W1710508923 cites W2039402106 @default.
- W1710508923 cites W2050247169 @default.
- W1710508923 cites W2078745150 @default.
- W1710508923 cites W2113832560 @default.
- W1710508923 cites W2141608495 @default.
- W1710508923 doi "https://doi.org/10.1017/cbo9780511635618.011" @default.
- W1710508923 hasPublicationYear "2009" @default.
- W1710508923 type Work @default.
- W1710508923 sameAs 1710508923 @default.
- W1710508923 citedByCount "2" @default.
- W1710508923 countsByYear W17105089232015 @default.
- W1710508923 crossrefType "book-chapter" @default.
- W1710508923 hasAuthorship W1710508923A5031496834 @default.
- W1710508923 hasConcept C126322002 @default.
- W1710508923 hasConcept C144133560 @default.
- W1710508923 hasConcept C144929662 @default.
- W1710508923 hasConcept C149782125 @default.
- W1710508923 hasConcept C162118730 @default.
- W1710508923 hasConcept C162324750 @default.
- W1710508923 hasConcept C175025494 @default.
- W1710508923 hasConcept C17744445 @default.
- W1710508923 hasConcept C199539241 @default.
- W1710508923 hasConcept C199728807 @default.
- W1710508923 hasConcept C2781300812 @default.
- W1710508923 hasConcept C29944286 @default.
- W1710508923 hasConcept C556758197 @default.
- W1710508923 hasConcept C71924100 @default.
- W1710508923 hasConceptScore W1710508923C126322002 @default.
- W1710508923 hasConceptScore W1710508923C144133560 @default.
- W1710508923 hasConceptScore W1710508923C144929662 @default.
- W1710508923 hasConceptScore W1710508923C149782125 @default.
- W1710508923 hasConceptScore W1710508923C162118730 @default.
- W1710508923 hasConceptScore W1710508923C162324750 @default.
- W1710508923 hasConceptScore W1710508923C175025494 @default.
- W1710508923 hasConceptScore W1710508923C17744445 @default.
- W1710508923 hasConceptScore W1710508923C199539241 @default.
- W1710508923 hasConceptScore W1710508923C199728807 @default.
- W1710508923 hasConceptScore W1710508923C2781300812 @default.
- W1710508923 hasConceptScore W1710508923C29944286 @default.
- W1710508923 hasConceptScore W1710508923C556758197 @default.
- W1710508923 hasConceptScore W1710508923C71924100 @default.
- W1710508923 hasLocation W17105089231 @default.
- W1710508923 hasOpenAccess W1710508923 @default.
- W1710508923 hasPrimaryLocation W17105089231 @default.
- W1710508923 hasRelatedWork W1492448504 @default.
- W1710508923 hasRelatedWork W1575788192 @default.
- W1710508923 hasRelatedWork W2014164737 @default.
- W1710508923 hasRelatedWork W2044338943 @default.
- W1710508923 hasRelatedWork W2324918171 @default.
- W1710508923 hasRelatedWork W2346483340 @default.
- W1710508923 hasRelatedWork W2354153154 @default.
- W1710508923 hasRelatedWork W2885439076 @default.
- W1710508923 hasRelatedWork W2907668789 @default.
- W1710508923 hasRelatedWork W2944054471 @default.
- W1710508923 hasRelatedWork W3044540980 @default.
- W1710508923 hasRelatedWork W3121590689 @default.
- W1710508923 hasRelatedWork W3122308968 @default.
- W1710508923 hasRelatedWork W3123122935 @default.
- W1710508923 hasRelatedWork W3124662146 @default.
- W1710508923 hasRelatedWork W3125383644 @default.
- W1710508923 hasRelatedWork W3125818146 @default.
- W1710508923 hasRelatedWork W3126140333 @default.
- W1710508923 hasRelatedWork W3152510608 @default.
- W1710508923 hasRelatedWork W2187482470 @default.
- W1710508923 isParatext "false" @default.
- W1710508923 isRetracted "false" @default.
- W1710508923 magId "1710508923" @default.
- W1710508923 workType "book-chapter" @default.