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Liquidity and interest rate risks in banking

Ziel



My research will consist of three theoretical papers focusing on the allocation of liquidity and interest rate risks of commercial banks. Investors are exposed to liquidity risk when the timing of their consumption needs is unknown and to interest rate risk when future markets interest rates are uncertain.
The topics and expected results of the papers are:
1- Liquidity risk sharing, financial intermediation and capital markets: the role of banks as providers of liquidity and insurance is shown to be superior to the single liquidity feature of the capital markets. 2- Interest risk and commercial banks: the bank's shareholders face a trade-off between hedging interest rate risk in order to keep outside funds from risk-averse depositors and speculating to profit from expected movements in interest rates.
3- Interest rate risk, proprietary trading and banks cost of capital where I will determine the rate of return required by shareholders on their investement when their bank is engaging in proprietary trading and taking interest rate risk.

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Finanzierungsplan

RGI - Research grants (individual fellowships)

Koordinator

London Business School
EU-Beitrag
Keine Daten
Adresse
Sussex Place Regent's Park
NW1 4SA London
Vereinigtes Königreich
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Beteiligte (1)