Interest Rate Derivatives at Commercial Banks: An Empirical Investigation
By Amiyatosh Purnanandam. 2007
189 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/0a66bbe3c9da10aa0cd048d3acb02eac1f4f24da
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Benedikt Ruprecht
- Til Schuermann
- Christoph Memmel
- Oliver Entrop
- Marco Wilkens
- Alexi Savov
- Philipp Schnabl
- I. Drechsler
In Economics and Econometrics
- Philipp Schnabl
- I. Drechsler
- Alexi Savov
- Benedikt Ruprecht
- Til Schuermann
- Christoph Memmel
- Oliver Entrop
- Marco Wilkens
In Finance
- Philipp Schnabl
- I. Drechsler
- Alexi Savov
- Benedikt Ruprecht
- Til Schuermann
- Christoph Memmel
- Oliver Entrop
- Marco Wilkens
Citations in the corpus
- Determinants of Bank Interest Margins: Impact of Maturity Transformation (2015, background): “• Savings deposits are modelled as 50% core deposits (see also Purnanandam, 2007).”
- Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies (2012, unknown): “distress should also be more aggressive in managing their risks (Smith and Stulz (1985), Froot et al.”
- Stress Testing Banks (2014, background): “Interest income is clearly a function of the yield curve and credit spreads posited under the stress scenario, but what the net impact of rising or falling rates are on bank profitability remains ambiguous, perhaps in part because of interest rate hedging strategies (English 2002, Purnanandam 2007).”
- How Useful is the Marginal Expected Shortfall for the Measurement of Systemic Exposure? A Practical Assessment (2013, unknown): “Qt = (1− a− b)S − gN + aηt−1η ′ t−1 + gut−1u ′ t−1 + bQt−1 (20)”
- Banking on Deposits: Maturity Transformation without Interest Rate Risk (2018, background): “Consistent with prior studies (e.g., Purnanandam (2007), Rampini, Viswanathan, and Vuillemey (2020)), we find that the large majority of banks (74”
- Originate-to-Distribute Model and the Subprime Mortgage Crisis (2011, unknown): “…from those of the small banks, we pay careful attention to the effect of bank size in these tests. banks’ risk-management activities and the effect of loan securitization on their performance (see Cebenoyan and Strahan, 2004; Loutskina, 2006; Loutskina and Strahan 2007; Purnanandam, 2007).”