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.
|Award date||9 Jan 2004|
|Place of Publication||Enschede|
|Publication status||Published - 2004|