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Contenuto archiviato il 2024-06-11

Liquidity and interest rate risks in banking

Obiettivo



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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Programma(i)

Argomento(i)

Invito a presentare proposte

Dati non disponibili

Meccanismo di finanziamento

RGI - Research grants (individual fellowships)

Coordinatore

London Business School
Contributo UE
Nessun dato
Indirizzo
Sussex Place Regent's Park
NW1 4SA London
Regno Unito
Costo totale
Nessun dato

Partecipanti (1)