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Rethinking Framework of Integrated Interest Rate and Credit Risk Management in Emerging Markets.

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dc.contributor.authorGubareva, Mariya
dc.contributor.authorBorges, Maria Rosa
dc.date.accessioned2018-02-23T19:31:44Z
dc.date.available2018-02-23T19:31:44Z
dc.date.issued2016
dc.descriptionCapítulo de livropt_PT
dc.description.abstractThis chapter reassesses the economics of interest rate risk management in light of the global financial crisis by developing a derivative-based integrated treatment of interest rate and credit risk interrelation. The decade-long historical data on credit default swap spreads and interest rate swap rates are used as proxy measures for credit risk and interest rate risk, respectively. An elasticity of interest rate risk and credit risk, considered a function of the business cycle phases, maturity of instruments, economic sector, creditworthiness, and other macroeconomic parameters, is investigated for optimizing economic capital. This chapter sheds light on how financial institutions may address hedge strategies against downside risks implementing the proposed derivative-based integrated treatment of interest rate and credit risk assessment allowing for optimization of interest rate swap contracts. The developed framework of integrated interest rate and credit risk management is of special importance for emerging markets heavily dependent on foreign capital as it potentially allows emerging market banks to improve risk management practices in terms of capital adequacy and Basel III rules. Analyzing diversification versus compounding effects, it allows enhancing financial stability through jointly optimizing Pillar 1 and Pillar 2 economic capitalpt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1108/978-1-78635-452-520161017pt_PT
dc.identifier.isbn978-1-78635-452-5
dc.identifier.urihttp://hdl.handle.net/10400.21/8119
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherEmerald Group Publishing Limitedpt_PT
dc.subjectEmerging marketspt_PT
dc.subjectIntegrated risk modelingpt_PT
dc.subjectInterest rate riskpt_PT
dc.subjectCredit riskpt_PT
dc.subjectDownside risk managementpt_PT
dc.subjectEconomic capitalpt_PT
dc.titleRethinking Framework of Integrated Interest Rate and Credit Risk Management in Emerging Markets.pt_PT
dc.typebook part
dspace.entity.typePublication
oaire.citation.conferencePlaceUKpt_PT
oaire.citation.endPage182pt_PT
oaire.citation.startPage141pt_PT
oaire.citation.titleRisk Management in Emerging Markets: Issues, Framework and Modelingpt_PT
person.familyNameGubareva
person.familyNameBorges
person.givenNameMariya
person.givenNameMaria Rosa
person.identifier.ciencia-id311F-E7AA-AAAA
person.identifier.ciencia-idF916-94DC-E0BC
person.identifier.orcid0000-0001-6829-7021
person.identifier.orcid0000-0001-5340-471X
person.identifier.ridY-8520-2018
person.identifier.ridC-7946-2009
person.identifier.scopus-author-id56850438400
person.identifier.scopus-author-id8581988500
rcaap.rightsclosedAccesspt_PT
rcaap.typebookPartpt_PT
relation.isAuthorOfPublicationd6c8e85f-b262-4905-9380-4469f62011ed
relation.isAuthorOfPublicationa6bb0845-89fc-43a6-97d3-87ed5fcd10de
relation.isAuthorOfPublication.latestForDiscoveryd6c8e85f-b262-4905-9380-4469f62011ed

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