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Managing Interest Rate Risk In The Thrift Industry

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Managing Interest Rate Risk In The Thrift Industry

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Author : Federal Home Loan Bank of San Francisco. Conference
language : en
Publisher:
Release Date : 1982

Managing Interest Rate Risk In The Thrift Industry written by Federal Home Loan Bank of San Francisco. Conference and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Financial services industry categories.

Managing Risk In Thrift Institutions

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Author : Richard Roll
language : en
Publisher:
Release Date : 1987

Managing Risk In Thrift Institutions written by Richard Roll and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Portfolio management categories.

Even if thrift institutions were exposed only to interest rate risk, gap management using simple duration would be an imperfect method, particularly for callable assets and liabilities. Duration measures interest rate risk for parallel shifts in the yield curve, but actual yield curve shifts should not be, and usually are not, parallel. An alternative to duration is a multi-factor model such as the Arbitrage Pricing Model (APT). An empirical investigation of a sample of large thrifts disclosed that they are exposed to APT factors such as inflation, investor confidence, and the term structure. The level of thrift exposure to these risk factors is twice that of the average industrial company and thrifts also exhibit an unusually large amount of non-systematic risk.

Identification And Control Of Risk In The Thrift Industry

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Author : Federal Home Loan Bank of San Francisco. Conference
language : en
Publisher:
Release Date : 1984

Identification And Control Of Risk In The Thrift Industry written by Federal Home Loan Bank of San Francisco. Conference and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Financial institutions categories.

A Guide To Managing Interest Rate Risk

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Author : Donna M. Howe
language : en
Publisher: Prentice Hall
Release Date : 1992

A Guide To Managing Interest Rate Risk written by Donna M. Howe and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Business & Economics categories.

Federal Register

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Author :
language : en
Publisher:
Release Date : 1984-05

Federal Register written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984-05 with Administrative law categories.

The Future Of The Thrift Industry

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Author :
language : en
Publisher:
Release Date : 1988

The Future Of The Thrift Industry written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Mortgage loans categories.

The Continued Interest Rate Vulnerability Of Thrifts

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Author : Patric H. Hendershott
language : en
Publisher:
Release Date : 1990

The Continued Interest Rate Vulnerability Of Thrifts written by Patric H. Hendershott and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Interest rates categories.

The 1980s S & L debacle is generally viewed as the result of: (1) sharply rising interest rates eliminating the net worth of thrifts funding fixed-rate loans with short-term deposits and (2) thrifts responding by taking even greater interest-rate and credit risks. The question investigated in this paper is how vulnerable do thrifts remain to an interest rate experience like that which triggered the 1980s S & L debacle? The short answer is that thrifts are even more vulnerable in 1989 than they were in 1977. The dollar volume of fixed-rate mortgages funded by short-term deposits in 1989, $400 billion, is slightly greater now than it was in 1977, and thrifts have also put over $325 billion of adjustable-rate loans with rate caps on their balance sheets. A sharp rise in interest rates (the one-year Treasury rate rose by 9 percentage points between 1977 and 1981) would cause significant losses on these capped loans, as well as on the fixed-rate loans.