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Varraso, 2024 - Google Patents

Banks and the Macroeconomic Transmission of Interest-Rate Risk

Varraso, 2024

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Document ID
8486613760198236731
Author
Varraso P
Publication year

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Snippet

I study the role of financial intermediaries in the transmission of interest-rate risk. I develop a quantitative model where banks can invest in assets of different durations and choose optimally their exposure to interest-rate fluctuations. I embed this portfolio problem in a …
Continue reading at www.ecb.europa.eu (PDF) (other versions)

Classifications

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
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    • G06Q99/00—Subject matter not provided for in other groups of this subclass
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