Benchmark rate risk, duration gap and stress testing in dual banking systems
Islamic commercial banks (ICBs) deal with a variety of risks, a pressing one being benchmark rates risk or rate of return risk (ROR). The purpose of this study is to measure the impact of changing benchmark rates on the net worth (NW) risk (i.e. economic value) of ICBs and conventional commercial ba...
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Main Authors: | Chattha, Jamshaid Anwar, Syed Jaafar Alhabshi, Syed Musa |
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Format: | Article |
Language: | English English English |
Published: |
Elsevier B.V.
2020
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Subjects: | |
Online Access: | http://irep.iium.edu.my/87984/15/87984_Benchmark%20rate%20risk%2C%20duration%20gap_article.pdf http://irep.iium.edu.my/87984/2/87984_Benchmark%20rate%20risk%2C%20duration%20gap%20and%20stress%20testing_SCOPUS.pdf http://irep.iium.edu.my/87984/3/87984_Benchmark%20rate%20risk%2C%20duration%20gap%20and%20stress%20testing_WoS.pdf http://irep.iium.edu.my/87984/ https://www.sciencedirect.com/science/article/pii/S0927538X17305176 |
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