Title

Interest rate risk and the systematic risk of U.S. commercial banks.

SelectedWorks Author Profiles:

Todd M. Shank

Document Type

Thesis

Publication Date

1991

Date Issued

1991-01-01

Date Available

2012-02-24

Abstract

In recent years, considerable attention has been focused on interest rate risk and its impact on financial institutions. There has been widespread disagreement over how best to measure the interest rate risk exposure of depository financial institutions and also disagreement over the question of whether this type of risk is included in the institution's overall market (systematic) risk. The study develops an equity valuation model that explicitly incorporates an alternative method of specifying interest rate risk. The model is then empirically validated for a sample of commercial banks in each of three size categories in the 1980-1989 "post-deregulatory" period. The goal is to determine how an institution's interest rate risk is related to its systematic risk, and if this relationship varies among banks of different size.

Comments

Abstract only.

Language

en_US

Publisher

University of Central Florida

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.