美联储衡量金融机构的利率风险管理

This paper proposes a new method to measure financial intermediaries' residual interest rate risk using high-frequency financial market data. The method is valid under extremely weak assumptions and exploits all available high-frequency information. The authors apply the method to U.S. life insurers and find that their interest rate risk management strategies are generally effective. However, life insurers are more exposed to interest rate risk than other financial institutions. The paper concludes that while financial institutions have generally effective interest rate risk management strategies, there is still room for improvement.

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