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Rising Interest Rate Risk at US Banks
Average interest rate risk in the banking system has been increasing since the end of the financial crisis and is almost back to its pre-recession level. But the increase has not occurred uniformly at large and small banks. At big banks, risk, while increasing, hasn?t yet reached its pre-recession high. It?s in small banks where we see a steep rise in interest rate risk. The big banks? exposure is being driven mainly by their liabilities. At small banks, it is coming from both their assets and liabilities.
AUTHORS: Elamin, Mahmoud; Bednar, William
Interest Rate Risk and Rising Maturities
Banks have been steadily increasing their exposure to interest rate risk since the end of the financial crisis, though large and small banks are doing so in different ways. This Commentary examines the maturity structure of assets and liabilities to identify the underlying factors responsible for the rise in interest rate risk and the differences between large and small banks.
AUTHORS: Bednar, William; Elamin, Mahmoud