Abstract
The goals of this chapter are twofold: to review the regulatory authorities’ approaches to the problem of measuring and monitoring of the Interest Rate Risks (IRR) faced by financial institutions; and to outline the impact of authorities’ intervention on financial institutions themselves, with particular reference to the introduction and implementation of effective Asset and Liability (ALM) techniques by those institutions. To this end, I will describe the environment in which financial institutions operate, and in particular the reasons for increased attention to IRR. Afterwards, I shall focus on the policy goals pursued, steps undertaken, and policy instruments used by regulators in this matter. Thereafter, I will review the present state of the art as far as intervention by the authorities is concerned. Finally, I will draw the main distinctions and stress the common points between authorities and institutions in their efforts to manage IRR, and, in the process, outline and evaluate the impact through the optic of ALM.
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Gualandri, E. (1999). Asset & Liability Management: Regulatory Guidelines on Interest Rate Risk Control and Their Impacts on Financial Institutions. In: Ho, D., Schneeweis, T. (eds) Applications in Finance, Investments, and Banking. Advances in Computational Economics, vol 9. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-3007-4_3
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DOI: https://doi.org/10.1007/978-1-4757-3007-4_3
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