Asset & Liability Management: Regulatory Guidelines on Interest Rate Risk Control and Their Impacts on Financial Institutions

  • Elisabetta Gualandri
Part of the Advances in Computational Economics book series (AICE, volume 9)


The goals of this chapter are twofold: to review the regulatory authorities’ approaches to the problem of measuring and monitoring of the Interest Rate Risks (IRR) faced by financial institutions; and to outline the impact of authorities’ intervention on financial institutions themselves, with particular reference to the introduction and implementation of effective Asset and Liability (ALM) techniques by those institutions. To this end, I will describe the environment in which financial institutions operate, and in particular the reasons for increased attention to IRR. Afterwards, I shall focus on the policy goals pursued, steps undertaken, and policy instruments used by regulators in this matter. Thereafter, I will review the present state of the art as far as intervention by the authorities is concerned. Finally, I will draw the main distinctions and stress the common points between authorities and institutions in their efforts to manage IRR, and, in the process, outline and evaluate the impact through the optic of ALM.


Financial Institution Credit Institution Investment Firm Capital Adequacy Supervisory Authority 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. AA. VV., (1991) La gestione integrata dell’attivo e del passivo nele aziende di credito, a cura di P.L. Fibrizi, Giuffrè, Milano.Google Scholar
  2. Bank Of England (1992) Banking Act Report For 1991/92. Google Scholar
  3. Basle Committee On Banking Supervision (1993) The Prudential Supervision Of Netting, Market Risk And Interest Rate Risk, Basle.Google Scholar
  4. Breeden, D. and Corrigan, E.G. (1992) Proposed Minimum Capital Rules For Banks And Securities Firms, Joint Statement, “World Of Banking.”Google Scholar
  5. Brewer, E. III (1989) “Full-Blown Crisis, Half Measure Cure, ” In Economic Perspectives, Federal Reserve Bank Of Chicago, November/ December.Google Scholar
  6. Cantor, R. and Johnson, R. (1992) “Bank Capital Ratios, Asset Growth, And The Stock Market, ” Federal Reserve Bank Of New York Quarterly Review, Autumn, 1992Google Scholar
  7. Committee On Banking Regulation And Supervisory Practices: Sub-Group On Interest Rate Risk (1988) Analytical Paper On Banks’ Exposure To Interest Rate Risk, Basle, 12th September. Google Scholar
  8. Committee On Banking Regulation And Supervisory Practices: Sub-Group On Interest Risk (1989) Banks’ Exposure To Interest Rate Risk. Practical Measurement Methods, Basle, 22nd February, (Bs/89/3);Google Scholar
  9. Committee On Banking Regulation And Supervisory Practices: Sub-Group On Interest Rate Risk (1990) Banks Exposure To Exposure To Interest Rate Risk. Measurement Proposals, Basle 25th October, (Bs/90/26);Google Scholar
  10. Comptroller Of The Currency (1989) A Conceptual Overview Of Interest Rate Risk, Occ Staff Paper, Multinational And Regional Bank Analysis Division, Washington, November.Google Scholar
  11. Drudi, F. and Panetta, F. (1992) Rischio d’interesse e coefficienti patrimoniali per gli intermediari finanziari: un’analisi dei reolamenti sim, In Banca D’Ttalia, “Temi Di Discussion”, N. 180, novembre.Google Scholar
  12. EC Commission (1993) Council Directive On Capital Adequacy Of Investment Firms And Credit Institutions, 25 May.Google Scholar
  13. Federal Home Board Loan Bank System, Thrift Bulletin, Tb 13, January 26, 1989; Tb 12, December 13, 1988.Google Scholar
  14. Fabozzi, F.J and Konishi, A. (1991) Asset And Liability Management, Chicago: Probus Publishing.Google Scholar
  15. Fabrizi, P. L. (1991) Iprofili organizzativi della gestion integrat dell’attivo e del passivo nelle aziende di credito, In P.L. Fabrizi (a cura di), la gestione integrata dell’ e del passivo nelle di credito, Milano: Giuffrè.Google Scholar
  16. Gardener, E. (Ed.) (1987), Interest Rate Risk And Banks, Institute Of European Finance Research Monographs In Banking And Finance, No. 4, Bangor: University College Of North Wales.Google Scholar
  17. Gualandri, E. (1991a) “The Approaches To Interest Rate Risk Of Supervisory Authorities And Financial Institutions, ” Revue De La Banque, No.1, Janvier.Google Scholar
  18. Gualandri, E. (1991b) “Aziende di credito e rischio di interesse, ” In P.L. Fabrizi (A Cura Di), La gestione integrata dell’attivo e del passivo nelle aziende di credito, Milano: Giuffrè.Google Scholar
  19. Houpt, J. (1989) “A Regulatory Perspective On Interest Rate Risk: A Fed View, ” Issues In Bank Regulation, Fall.Google Scholar
  20. Huber, S.K. (1992) “The Federal Deposit Insurance Corporation Improvement Act Of 1991, ” The Banking Law Journal, 1992Google Scholar
  21. Office Of Thrift Supervision, (1989) The OTS Market Value Model, Washington, D.C.Google Scholar
  22. R.P. Platt (Ed.) (1986), Controlling Interest Rate Risk, New York: John Wiley & Sons. “What Every Bank Ceo Should Know About Risk, ” Risk, Vol. 2, No. 8, September 1989Google Scholar
  23. S.D. Smith (1988) “Some Factors To Consider When Choosing Your Gap Exposure”, Review, Federal Reserve Bank of Atlanta, November.Google Scholar
  24. White, L.J. (1991), The S&L Debacle: Public Policy Lessons For Bank And Thrift Regulation, Oxford: Oxford University Press.Google Scholar

Copyright information

© Springer Science+Business Media New York 1999

Authors and Affiliations

  • Elisabetta Gualandri
    • 1
  1. 1.Dipartimento di Economia AziendaleUniversità di ModenaItaly

Personalised recommendations