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Dal Borgo, 2018 - Google Patents

Modelling demand deposits and interest rate risk sharing: Lessons from the Mexican banking regulation

Dal Borgo, 2018

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Document ID
5940409079023652873
Author
Dal Borgo M
Publication year

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Snippet

Mexican banks face capital requirements for interest rate risk in the banking book based on the size of the maturity gap between assets and liabilities. In that context, this study investigates the use of an internal model that allows to lengthen the maturity of demand …
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