FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2127788571> ?p ?o ?g. }

• W2127788571 abstract "Credit and interest rate risk in the banking book are the two most important risks faced by commercial banks. In this paper we derive a consistent and general framework to measure the integrated impact of both risks on banks' portfolios. The framework accounts for all sources of credit risk and interest rate risk. By modeling the whole portfolio of a bank and by taking account of the repricing characteristics of all exposures, we can assess the impact of credit and interest rate risk not only on the bank's economic value but also on its future earnings and capital adequacy. We apply our framework to a hypothetical bank in normal and stressed conditions. The simulation highlights that it is fundamental to measure the impact of interest rate and credit risk jointly. We also show that it is crucial to model the whole portfolio, including the repricing and maturity characteristics of assets, liabilities and off balance sheet items." @default.
• W2127788571 created "2016-06-24" @default.
• W2127788571 creator A5010856488 @default.
• W2127788571 creator A5029387244 @default.
• W2127788571 creator A5067533501 @default.
• W2127788571 date "2008-01-01" @default.
• W2127788571 modified "2023-10-16" @default.
• W2127788571 title "The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspective" @default.
• W2127788571 cites W1531307674 @default.
• W2127788571 cites W1537988114 @default.
• W2127788571 cites W1559725509 @default.
• W2127788571 cites W1567611105 @default.
• W2127788571 cites W1629883981 @default.
• W2127788571 cites W1998033860 @default.
• W2127788571 cites W2041600052 @default.
• W2127788571 cites W2048438700 @default.
• W2127788571 cites W2058766649 @default.
• W2127788571 cites W2063025283 @default.
• W2127788571 cites W2070345223 @default.
• W2127788571 cites W2078904709 @default.
• W2127788571 cites W2086779350 @default.
• W2127788571 cites W2147332443 @default.
• W2127788571 cites W2148363893 @default.
• W2127788571 cites W2157509893 @default.
• W2127788571 cites W2160797051 @default.
• W2127788571 cites W2161197409 @default.
• W2127788571 cites W2164312708 @default.
• W2127788571 cites W2246584226 @default.
• W2127788571 cites W229011152 @default.
• W2127788571 cites W3121590689 @default.
• W2127788571 cites W3125149866 @default.
• W2127788571 cites W3125940441 @default.
• W2127788571 cites W3125970845 @default.
• W2127788571 cites W4236762388 @default.
• W2127788571 cites W4312286431 @default.
• W2127788571 cites W1506726907 @default.
• W2127788571 doi "https://doi.org/10.2139/ssrn.966270" @default.
• W2127788571 hasPublicationYear "2008" @default.
• W2127788571 type Work @default.
• W2127788571 sameAs 2127788571 @default.
• W2127788571 citedByCount "27" @default.
• W2127788571 countsByYear W21277885712012 @default.
• W2127788571 countsByYear W21277885712013 @default.
• W2127788571 countsByYear W21277885712014 @default.
• W2127788571 countsByYear W21277885712015 @default.
• W2127788571 countsByYear W21277885712016 @default.
• W2127788571 countsByYear W21277885712017 @default.
• W2127788571 countsByYear W21277885712018 @default.
• W2127788571 countsByYear W21277885712020 @default.
• W2127788571 countsByYear W21277885712022 @default.
• W2127788571 crossrefType "journal-article" @default.
• W2127788571 hasAuthorship W2127788571A5010856488 @default.
• W2127788571 hasAuthorship W2127788571A5029387244 @default.
• W2127788571 hasAuthorship W2127788571A5067533501 @default.
• W2127788571 hasConcept C105795698 @default.
• W2127788571 hasConcept C106159729 @default.
• W2127788571 hasConcept C107584723 @default.
• W2127788571 hasConcept C12713177 @default.
• W2127788571 hasConcept C144133560 @default.
• W2127788571 hasConcept C162118730 @default.
• W2127788571 hasConcept C162324750 @default.
• W2127788571 hasConcept C166957645 @default.
• W2127788571 hasConcept C16969640 @default.
• W2127788571 hasConcept C175025494 @default.
• W2127788571 hasConcept C175444787 @default.
• W2127788571 hasConcept C178350159 @default.
• W2127788571 hasConcept C181622380 @default.
• W2127788571 hasConcept C2524010 @default.
• W2127788571 hasConcept C2776291640 @default.
• W2127788571 hasConcept C2776943663 @default.
• W2127788571 hasConcept C2864544 @default.
• W2127788571 hasConcept C29122968 @default.
• W2127788571 hasConcept C29944286 @default.
• W2127788571 hasConcept C33923547 @default.
• W2127788571 hasConcept C34447519 @default.
• W2127788571 hasConcept C44750222 @default.
• W2127788571 hasConcept C556758197 @default.
• W2127788571 hasConcept C57495647 @default.
• W2127788571 hasConcept C58202505 @default.
• W2127788571 hasConcept C83646750 @default.
• W2127788571 hasConcept C95457728 @default.
• W2127788571 hasConceptScore W2127788571C105795698 @default.
• W2127788571 hasConceptScore W2127788571C106159729 @default.
• W2127788571 hasConceptScore W2127788571C107584723 @default.
• W2127788571 hasConceptScore W2127788571C12713177 @default.
• W2127788571 hasConceptScore W2127788571C144133560 @default.
• W2127788571 hasConceptScore W2127788571C162118730 @default.
• W2127788571 hasConceptScore W2127788571C162324750 @default.
• W2127788571 hasConceptScore W2127788571C166957645 @default.
• W2127788571 hasConceptScore W2127788571C16969640 @default.
• W2127788571 hasConceptScore W2127788571C175025494 @default.
• W2127788571 hasConceptScore W2127788571C175444787 @default.
• W2127788571 hasConceptScore W2127788571C178350159 @default.
• W2127788571 hasConceptScore W2127788571C181622380 @default.
• W2127788571 hasConceptScore W2127788571C2524010 @default.
• W2127788571 hasConceptScore W2127788571C2776291640 @default.
• W2127788571 hasConceptScore W2127788571C2776943663 @default.
• W2127788571 hasConceptScore W2127788571C2864544 @default.
• W2127788571 hasConceptScore W2127788571C29122968 @default.
• W2127788571 hasConceptScore W2127788571C29944286 @default.

• next