Economic capital for Dutch retail banking books: a study on the effects of embedded options in Dutch retail banking books on interest rate risk and economic capital

Theodorus Petrus Gerardus van Mullem

    Research output: Thesis › PhD Thesis - Research UT, graduation UT

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    Abstract

    In this thesis we study the effects of embedded options in the retail banking book on interest rate risk and economic capital. In chapter 1 we give an introduction to the field. Further we define some core concepts and describe the research goal and research questions in that chapter. The goal of this research is to study the effects of embedded options in the retail banking book on interest rate risk and economic capital. To reach this goal, we start with a study of banking risks in general in chapter 2. At the end of that study we provide a general risk typology, thereby answering research question one.
    Original languageEnglish
    Awarding Institution
    • University of Twente
    Supervisors/Advisors
    • Bruggink, Albertus, Supervisor
    • Bilderbeek, J., Supervisor
    Award date9 Jan 2004
    Place of PublicationEnschede
    Publisher
    Print ISBNs90-901-7605-5
    Publication statusPublished - 2004

    Keywords

    • IR-50842

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