Interest rate exposure of Spanish banks: A nonparametric analysis

Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique that avoids the assumption of a specific functional form. One the one hand, it is found that the Spanish banking sector exhibits a remarkable degree of interest rate exposure, although the impact of interest rate changes on bank stock returns has significantly declined following the introduction of the euro. Further, a pattern of positive exposure emerges during the post-euro period. On the other hand, the results corresponding to the nonparametric model support the expansion of the conventional linear model in an attempt to gain a greater insight into the actual degree of exposure.

Model risk in the pricing of exotic options

The growth experimented in recent years in both the variety and volume of structured products implies that banks and other financial institutions have become increasingly exposed to model risk. In this article we focus on the model risk associated with the local volatility (LV) model and with the Variance Gamma (VG) model. The results show that the LV model performs better than the VG model in terms of its ability to match the market prices of European options. Nevertheless, both models are subject to significant pricing errors when compared with the stochastic volatility framework.

Sequencing of a 17.6 kb segment on the right arm of yeast chromosome VII reveals 12 ORFs, including CCT, ADE3 and TR-I genes, homologues of the yeast PMT and EF1G genes, of the human and bacterial electron-transferring flavoproteins (beta-chain) and of the Escherichia coli phosphoserine phosphohydrolase, and five new ORFs.

A 17.6 kb DNA fragment from the right arm of chromosome VII of Saccharomyces cerevisiae has been sequenced and analysed. The sequence contains twelve open reading frames (ORFs) longer than 100 amino acids. Three genes had already been cloned and sequenced: CCT, ADE3 and TR-I. Two ORFs are similar to other yeast genes: G7722 with the YAL023 (PMT2) and PMT1 genes, encoding two integral membrane proteins, and G7727 with the first half of the genes encoding elongation factors 1gamma, TEF3 and TEF4. Two other ORFs, G7742 and G7744, are most probably yeast orthologues of the human and Paracoccus denitrificans electron-transferring flavoproteins (beta chain) and of the Escherichia coli phosphoserine phosphohydrolase. The five remaining identified ORFs do not show detectable homology with other protein sequences deposited in data banks. The sequence has been deposited in the EMBL data library under Accession Number Z49133.

A Fraude Contabilística no Sector Bancário e a Responsabilidade da Auditoria na sua prevenção e detecção: o caso português

Mestrado em Auditoria

Efeito de contágio no mercado financeiro português

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Modelos de supervisão/regulação bancária: enquadramento internacional e desenvolvimentos mais recentes

Mestrado em Contabilidade e Análise Financeira

O crédito malparado e o sobreendividamento das famílias na região autónoma da Madeira

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Contribuição sobre o setor bancário: um contributo para o estudo das suas motivações e condicionantes à sua implementação na União Europeia

Mestrado em Fiscalidade

Metodologia DEA e optimização multiobjectivo

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Risco de crédito na banca face ao novo enquadramento normativo em contexto de crise : o caso do crédito a particulares

Mestrado em Auditoria

Divididos: um espectáculo de teatro na paisagem das Comédias do Minho: de corpo na terra, perto do céu: relatório de estágio

requisitos necessários à obtenção do grau de Mestre em Teatro - especialização em Artes Performativas /Teatro-Música.

Compensação da energia reactiva com minimização de perturbações sobre a rede eléctrica

Trabalho Final de Mestrado para a obtenção de grau de Mestre em Engenharia Electrotécnica Ramo de Automação e Electrónica Industrial