Bank interest rate risk management and valuation of earnings

• Published in: Accounting and finance (Parkville) Vol. 61; no. 3; pp. 4287 - 4337
• Main Authors: Burke, Qing L., Warfield, Terry D.
• Format: Journal Article
• Language: English
• Published: Clayton Blackwell Publishing Ltd 01.09.2021
• Subjects: Bank holding companies; Earnings valuation; Interest income; Interest rate risk management; Interest rates; Net interest income; Risk management; Valuation

This paper examines banks’ interest rate risk management and its effects on the persistence and valuation of earnings. We first develop a novel measure of interest rate risk management by incorporating asymmetric changes in interest rates on assets and liabilities in response to market rate changes....