La gestione del rischio di tasso di interesse del banking book: evidenze dalle banche italiane

La gestione del rischio di tasso di interesse del banking book: evidenze dalle banche italiane

Ottobre 2019
978-88-6856-141-3

I use a unique panel dataset of annual observations for 130 Italian financial intermediaries from 2014 to 2016 to analyse how Italian banks managed their exposure to interest rate risk after the recent financial crisis. Empirical results show: (i) from 2014 to 2016 on average the interest rate risk exposure – measured by duration gap approach - of Italian banking system has been limited and well below the alert level enforced by regulators, subject to some exceptions: (ii) econometric results indicate a relation of substitutability between banks’ on-balance-sheet interest rate risk and their use of interest rate derivatives suggesting that banks used these two instruments to curb their overall interest rate risk exposure in case of an increase in interest rates.