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Journal articles on the topic 'Interest rate risk'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Pepic, Marina. "Managing interest rate risk with interest rate futures." Ekonomika preduzeca 62, no. 3-4 (2014): 201–9. http://dx.doi.org/10.5937/ekopre1404201p.

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2

Ang, Andrew, and Michael Sherris. "Interest Rate Risk Management." North American Actuarial Journal 1, no. 2 (1997): 1–26. http://dx.doi.org/10.1080/10920277.1997.10595601.

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3

C. Prabhavathi, C. Prabhavathi. "Impact of Interest Rate Risk In Banking System." Indian Journal of Applied Research 3, no. 6 (2011): 314–16. http://dx.doi.org/10.15373/2249555x/june2013/105.

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4

Sabovic, Serif. "Management of interest rate risk." Ekonomski signali 9, no. 1 (2014): 35–53. http://dx.doi.org/10.5937/ekonsig1401035s.

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5

Hoffmann, Peter, Sam Langfield, Federico Pierobon, and Guillaume Vuillemey. "Who Bears Interest Rate Risk?" Review of Financial Studies 32, no. 8 (2018): 2921–54. http://dx.doi.org/10.1093/rfs/hhy113.

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Abstract We study the allocation of interest rate risk within the European banking sector using novel data. Banks’ exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. Contrary to conventional wisdom, net worth is increasing in interest rates for approximately half of the institutions in our sample. Cross-sectional variation in banks’ exposures is driven by cross-country differences in loan-rate fixation conventions for mortgages. Banks use derivatives to partially hedge on-balance-sheet exposures. Residual exposures imply that changes in interest rates

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6

Van Hemert, Otto. "Household Interest Rate Risk Management." Real Estate Economics 38, no. 3 (2010): 467–505. http://dx.doi.org/10.1111/j.1540-6229.2010.00274.x.

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7

Ho, Thomas S. Y. "Managing Interest Rate Volatility Risk." Journal of Fixed Income 17, no. 3 (2007): 6–17. http://dx.doi.org/10.3905/jfi.2007.700216.

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8

Ehrhardt, Michael C. "Diversification and Interest Rate Risk." Journal of Business Finance & Accounting 18, no. 1 (1991): 43–59. http://dx.doi.org/10.1111/j.1468-5957.1991.tb00578.x.

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9

Almeida, Caio, and José Vicente. "Are interest rate options important for the assessment of interest rate risk?" Journal of Banking & Finance 33, no. 8 (2009): 1376–87. http://dx.doi.org/10.1016/j.jbankfin.2009.02.003.

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10

Bierwag, Gerald O. "Duration and Interest Rate Risk for a Binomial Interest Rate Stochastic Process." Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration 17, no. 2 (2009): 115–25. http://dx.doi.org/10.1111/j.1936-4490.2000.tb00213.x.

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11

Granito, Michael R., and Gerald O. Bierwag. "Duration Analysis: Managing Interest Rate Risk." Journal of Finance 43, no. 1 (1988): 264. http://dx.doi.org/10.2307/2328337.

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12

Gibson, Rajna, François-Serge Lhabitant, Nathalie Pistre, and Denis Talay. "Interest rate model risk: an overview." Journal of Risk 1, no. 3 (1999): 37–62. http://dx.doi.org/10.21314/jor.1999.009.

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13

Toevs, Alden L. "Interest rate risk and uncertain lives." Journal of Portfolio Management 11, no. 3 (1985): 45–56. http://dx.doi.org/10.3905/jpm.1985.409004.

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14

Pitts, Mark. "The management of interest rate risk." Journal of Portfolio Management 11, no. 4 (1985): 67–69. http://dx.doi.org/10.3905/jpm.1985.409022.

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15

Maloney, Kevin J., and Jess B. Yawitz. "Interest rate risk, immunization, and duration." Journal of Portfolio Management 12, no. 3 (1986): 41–48. http://dx.doi.org/10.3905/jpm.1986.409062.

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16

Piazzesi, Monika, and Martin Schneider. "Interest Rate Risk in Credit Markets." American Economic Review 100, no. 2 (2010): 579–84. http://dx.doi.org/10.1257/aer.100.2.579.

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17

Boehm, Thomas P., and Michael C. Ehrhardt. "Reverse Mortgages and Interest Rate Risk." Real Estate Economics 22, no. 2 (1994): 387–408. http://dx.doi.org/10.1111/1540-6229.00639.

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18

Baker, Lee, Richard Haynes, John Roberts, Rajiv Sharma, and Bruce Tuckman. "Risk Transfer with Interest Rate Swaps." Financial Markets, Institutions & Instruments 30, no. 1 (2020): 3–28. http://dx.doi.org/10.1111/fmii.12135.

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19

Ferranti, Kimberly. "ABN AMRO: managing interest rate risk." Balance Sheet 10, no. 1 (2002): 43–46. http://dx.doi.org/10.1108/09657960210697409.

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20

VALENTINE, TOM. "REGULATION OF BANK INTEREST RATE RISK." Australian Economic Papers 36, no. 68 (1997): 31–41. http://dx.doi.org/10.1111/j.1467-8454.1997.tb00818.x.

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21

Harvey, Charles, and Carolyn Jenkins. "Interest rate policy, taxation and risk." World Development 22, no. 12 (1994): 1869–79. http://dx.doi.org/10.1016/0305-750x(94)90179-1.

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22

Fraser, Donald R., Jeff Madura, and Robert A. Weigand. "Sources of Bank Interest Rate Risk." Financial Review 37, no. 3 (2002): 351–67. http://dx.doi.org/10.1111/0732-8516.00002.

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23

Robinson, R. M. "Duration analysis: Managing interest rate risk." Journal of Banking & Finance 12, no. 1 (1988): 161–66. http://dx.doi.org/10.1016/0378-4266(88)90057-x.

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24

Caporale, Tony. "Regime changes and interest rate risk." Economics Letters 136 (November 2015): 204–6. http://dx.doi.org/10.1016/j.econlet.2015.08.015.

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25

Abdymomunov, Azamat, and Jeffrey Gerlach. "Stress testing interest rate risk exposure." Journal of Banking & Finance 49 (December 2014): 287–301. http://dx.doi.org/10.1016/j.jbankfin.2014.08.013.

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26

Burke, Phillipe C. "Strategies for interest rate risk management." Journal of Corporate Accounting & Finance 2, no. 3 (1991): 317–27. http://dx.doi.org/10.1002/jcaf.3970020308.

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27

Goldfarb, David R. "Hedging interest rate risk in banking." Journal of Futures Markets 7, no. 1 (1987): 35–47. http://dx.doi.org/10.1002/fut.3990070105.

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28

Alessandrini, Fabio. "Credit Risk, Interest Rate Risk, and the Business Cycle." Journal of Fixed Income 9, no. 2 (1999): 42–53. http://dx.doi.org/10.3905/jfi.1999.319259.

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29

Longstaff, Francis A. "Hedging Interest Rate Risk with Options on Average Interest Rates." Journal of Fixed Income 4, no. 4 (1995): 37–45. http://dx.doi.org/10.3905/jfi.1995.408126.

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30

Liban, Muhudin Alim, and Onyango James. "Macroeconomics Determinants of Interest Rate Spreads Among Commercial Banks in Kenya." Journal of Economics, Finance And Management Studies 07, no. 04 (2024): 1738–52. https://doi.org/10.5281/zenodo.10931540.

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The determination of interest rate spread in commercial banks is influenced by various macroeconomic variables, market microstructure features and the policy environment. However, studies on factors that contribute to the interest rate spreads among commercial banks in Kenya have produced mixed results that calls for further research. This study aimed to assess the determinants of interest rate spread in commercial banks in Kenya. Specifically, the study sought to establish the effect of inflation rate, domestic borrowing, credit risk and exchange rate risk on the interest rate spreads among c

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31

Hosokawa, Satoshi, and Koichi Matsumoto. "Pricing interest rate derivatives with model risk." Journal of Financial Engineering 02, no. 01 (2015): 1550003. http://dx.doi.org/10.1142/s2345768615500038.

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This paper studies an interest rate derivative when there is the model risk in an interest rate model. We consider a mean reverting interest rate process whose volatility model is not known. Most of prices of interest rate derivatives cannot be determined uniquely, based on this interest rate model. We study the price bounds of a derivative and propose how to calculate the price bounds by a trinomial model. Further, we analyze the model risk of derivatives and their portfolios numerically.

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32

English, William B., Skander J. Van den Heuvel, and Egon Zakrajšek. "Interest Rate Risk and Bank Equity Valuations." Finance and Economics Discussion Series 2012, no. 26 (2012): 1–45. http://dx.doi.org/10.17016/feds.2012.26.

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33

Privault, Nicolas, and Timothy Robin Teng. "Risk-neutral hedging of interest rate derivatives." Risk and Decision Analysis 3, no. 3 (2012): 201–9. http://dx.doi.org/10.3233/rda-2011-0061.

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34

Liang, Youguo, and James Webb. "Pricing Interest-Rate Risk for Mortgage REITs." Journal of Real Estate Research 10, no. 4 (1995): 461–69. http://dx.doi.org/10.1080/10835547.1995.12090796.

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35

Crack, Timothy Falcon, and Sanjay K. Nawalkha. "Interest Rate Sensitivities of Bond Risk Measures." Financial Analysts Journal 56, no. 1 (2000): 34–43. http://dx.doi.org/10.2469/faj.v56.n1.2328.

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36

Oertmann*, Peter, Christel Rendu, and Heinz Zimmermann. "Interest Rate Risk of European Financial Corporations." European Financial Management 6, no. 4 (2000): 459–78. http://dx.doi.org/10.1111/1468-036x.00135.

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37

Rossi, Eduardo, and Claudio Zucca. "Hedging interest rate risk with multivariate GARCH." Applied Financial Economics 12, no. 4 (2002): 241–51. http://dx.doi.org/10.1080/09603100110088094.

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38

Gordon, D. A., M. J. Gordon, and L. I. Gould. "The Interest Rate Component of Systematic Risk." Journal of Accounting, Auditing & Finance 5, no. 4 (1990): 573–88. http://dx.doi.org/10.1177/0148558x9000500409.

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39

Hinz *, Juri, Lutz Von Grafenstein, Michel Verschuere, and Martina Wilhelm. "Pricing electricity risk by interest rate methods." Quantitative Finance 5, no. 1 (2005): 49–60. http://dx.doi.org/10.1080/14697680500040876.

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40

Basu, Parantap, Satyajit Ghosh, and Ioannis Kallianiotis. "Interest rate risk, labor supply and unemployment." Economic Modelling 18, no. 2 (2001): 223–31. http://dx.doi.org/10.1016/s0264-9993(00)00036-5.

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41

English, William B., Skander J. Van den Heuvel, and Egon Zakrajšek. "Interest rate risk and bank equity valuations." Journal of Monetary Economics 98 (October 2018): 80–97. http://dx.doi.org/10.1016/j.jmoneco.2018.04.010.

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42

Kang, Zhuang, and Srdjan D. Stojanovic. "Interest rate risk premium and equity valuation." Journal of Systems Science and Complexity 23, no. 3 (2010): 484–98. http://dx.doi.org/10.1007/s11424-010-0142-y.

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43

Bretscher, Lorenzo, Lukas Schmid, and Andrea Vedolin. "Interest Rate Risk Management in Uncertain Times." Review of Financial Studies 31, no. 8 (2018): 3019–60. http://dx.doi.org/10.1093/rfs/hhy039.

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44

Jareño, Francisco, and Eliseo Navarro. "Stock interest rate risk and inflation shocks." European Journal of Operational Research 201, no. 2 (2010): 337–48. http://dx.doi.org/10.1016/j.ejor.2009.03.025.

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45

Dhanani, Alpa, Suzanne Fifield, Christine Helliar, and Lorna Stevenson. "Why UK companies hedge interest rate risk." Studies in Economics and Finance 24, no. 1 (2007): 72–90. http://dx.doi.org/10.1108/10867370710737391.

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46

Staikouras, Sotiris K. "Financial Intermediaries and Interest Rate Risk: II." Financial Markets, Institutions & Instruments 15, no. 5 (2006): 225–72. http://dx.doi.org/10.1111/j.1468-0416.2006.00118.x.

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47

Memmel, Christoph. "Why Do Banks Bear Interest Rate Risk?" Schmalenbach Business Review 70, no. 3 (2018): 231–53. http://dx.doi.org/10.1007/s41464-018-0051-5.

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48

Booth, G. Geoffrey, Wolfgang Bessler, and William G. Foote. "Managing interest-rate risk in banking institutions." European Journal of Operational Research 41, no. 3 (1989): 302–13. http://dx.doi.org/10.1016/0377-2217(89)90251-8.

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49

Bakoush, Mohamed, Enrico H. Gerding, and Simon Wolfe. "Interest rate swaps clearing and systemic risk." Finance Research Letters 33 (March 2020): 101218. http://dx.doi.org/10.1016/j.frl.2019.06.016.

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50

Guasoni, Paolo, and Gu Wang. "Consumption and investment with interest rate risk." Journal of Mathematical Analysis and Applications 476, no. 1 (2019): 215–39. http://dx.doi.org/10.1016/j.jmaa.2019.01.003.

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