Bank Asset-Liability Management: A Guide to Managing Interest Rate Risk in the Banking Book for Practitioners, Regulators, and Supervisors in the EU
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71
978-3031802041
Palgrave Macmillan
2025
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loginThis book provides a practical and intuitive view of how European banks manage asset-liability mismatch risk from both a practitioner and supervisory perspective. After a prolonged period of zero interest rate policy (ZIRP) by central banks around the world, the period from Q1 2022 to Q2 2023 has seen the largest, fastest, and most widespread increase in interest rates since the 1980s, with 1-year euro yields rising by more than 400 bp. The recent market turmoil has exposed the increased vulnerability of banks, particularly those with significant exposures to long-term, fixed income assets, fueled by shorter-term, less stable funding.
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