Interest Rate Risk in the Banking Book (IRRBB) – Comparing Variance/Covariance with Historical Simulation and Several Copula Functions with Focus on the Actual EBA Guidelines
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F18%3A00108932" target="_blank" >RIV/00216224:14560/18:00108932 - isvavai.cz</a>
Result on the web
<a href="https://is.muni.cz/do/econ/sborniky/2018/Proceedings_finalni_verze_September_3.pdf" target="_blank" >https://is.muni.cz/do/econ/sborniky/2018/Proceedings_finalni_verze_September_3.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Interest Rate Risk in the Banking Book (IRRBB) – Comparing Variance/Covariance with Historical Simulation and Several Copula Functions with Focus on the Actual EBA Guidelines
Original language description
Interest rate risk and its measurement are important for banks worldwide. Strategic maturity transformation positions in combination with the historical low level of yields leads to the question, whether the standard risk measurement models as variance/covariance or historical simulation lead do adequate results. This article answers this question and offers an empirical analysis in which several alternative Copula functions are used to quantify interest rate risk. The results are compared to the EBA guidelines on IRRBB. The aim is to show if the six interest rate risk scenarios that are defined by the EBA are an adequate measurement method.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
European Financial Systems 2018 - Proceedings of the 15th International Scientific Conference
ISBN
9788021089808
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
733-742
Publisher name
ESF MU
Place of publication
Brno
Event location
Brno
Event date
Jun 25, 2018
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000462948800093