Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve

Saved in:

Authors and Corporations:

Foos, Daniel (Author), Lütkebohmert, Eva (Author), Markovych, Mariia (Author), Pliszka, Kamil (Author)

Other Authors:

Lütkebohmert, Eva 1979- [Author] • Markovych, Mariia [Author] • Pliszka, Kamil [Author]

Type of Resource:

E-Book

Language:

English

published:

Frankfurt am Main Deutsche Bundesbank [31.08.2017]

Series:

Subjects:

Bayesian DCC M-GARCH model

interest rate risk

maturity transformation

swings in the yield curve

Arbeitspapier

Graue Literatur

Source:

Verbunddaten SWB
Lizenzfreie Online-Ressourcen

ISBN:

9783957293879

Parent items:
Deutsche Bundesbank: Discussion paper