Riesgos bancarios y tipo de interés

Ricardo Laiseca Asla
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Ricardo Laiseca Asla: S. G. de Tesorería Banesto

EKONOMIAZ. Revista vasca de Economía, 1994, vol. 28, issue 01, 30-43

Abstract: The aim of this paper is to study the interest rate risk which Spanish financial institutions face. Following the portfolio management theory, I develop a model which puts into relation this risk wlth the difference of durations between banking assets and liabilities. Given the important difficulties to measure these durations, I propose a partial adjustment model in order to compute an approximation. The results show the low level of this risk for the Spanish banking system, as a consequence of the stability in its liabilities during the last years.

Keywords: Tipos de interés; anánlisis del riesgo (search for similar items in EconPapers)
JEL-codes: E43 G21 G24 (search for similar items in EconPapers)
Date: 1994
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