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dc.rights.licenseKūrybinių bendrijų licencija / Creative Commons licenceen_US
dc.contributor.authorŽigienė, Gerda
dc.contributor.authorValukonis, Mantas
dc.date.accessioned2024-07-11T13:22:29Z
dc.date.available2024-07-11T13:22:29Z
dc.date.issued2022
dc.date.submitted2022-03-10
dc.identifier.isbn9786094762888en_US
dc.identifier.issn2029-4441en_US
dc.identifier.urihttps://etalpykla.vilniustech.lt/handle/123456789/154638
dc.description.abstractThis paper contributes to the existent literature and the current discussions on regulatory changes towards bank exposure to interest rate risk in the banking book (IRRBB) aiming to provide the model on the computation of earning based gap analysis under unconditional cash flow for the European Bank Authority’s (EBA’s) category 4 banks (i. e. small non-complex domestic financial institutions). The problem, discussed in this paper, arises because the Final Standards issued by the Basel Committee on Banking Supervision do not determine the level of sophistication of the IRRBB measurement techniques. There are different explanations of consultants, some surveys, and recommendations, but no suggestions on the particular modeling towards regulation in IRRBB have been found. Another issue addressed here is the uneven capacity of creating risk assessment models of large international and small domestic financial institutions due to the difference in human resources. We first discuss recent changes of regulation on interest rates in the banking book and the background of these changes. We then develop a methodology of the model for assessment of earning-based gap analysis under unconditional cash flows for the 4th category of banks (small, local banks). In addition, the model with one of the Baltic domestic commercial bank’s simulated data is tested.en_US
dc.format.extent9 p.en_US
dc.format.mediumTekstas / Texten_US
dc.language.isoenen_US
dc.relation.urihttps://etalpykla.vilniustech.lt/handle/123456789/154478en_US
dc.rightsAttribution 4.0 Internationalen_US
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/en_US
dc.source.urihttps://bm.vgtu.lt/index.php/verslas/2022/paper/view/844en_US
dc.subjectinterest rate risk in the banking booken_US
dc.subjectbanking supervisionen_US
dc.subjectunconditional cash flowen_US
dc.subjectnet interest incomeen_US
dc.titleNII forecasting model for local Baltic banks IRRBB managementen_US
dc.typeKonferencijos publikacija / Conference paperen_US
dcterms.accessRightsLaisvai prieinamas / Openly availableen_US
dcterms.accrualMethodRankinis pateikimas / Manual submissionen_US
dcterms.alternativeFinance and investments: new challenges and opportunitiesen_US
dcterms.dateAccepted2022-04-06
dcterms.issued2022-05-13
dcterms.licenseCC BYen_US
dcterms.references27en_US
dc.description.versionTaip / Yesen_US
dc.contributor.institutionKaunas University of Technologyen_US
dcterms.sourcetitle12th International Scientific Conference “Business and Management 2022”en_US
dc.identifier.eisbn9786094762895en_US
dc.identifier.eissn2029-929Xen_US
dc.publisher.nameVilnius Gediminas Technical Universityen_US
dc.publisher.nameVilniaus Gedimino technikos universitetasen_US
dc.publisher.countryLithuaniaen_US
dc.publisher.countryLietuvaen_US
dc.publisher.cityVilniusen_US
dc.identifier.doihttps://doi.org/10.3846/bm.2022.844en_US


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Kūrybinių bendrijų licencija / Creative Commons licence
Except where otherwise noted, this item's license is described as Kūrybinių bendrijų licencija / Creative Commons licence