A regime-switching approach for Bank interest rate and foreign exchange risk management
碩士 === 國立暨南國際大學 === 財務金融學系 === 98 === This paper investigates the dynamic portfolio hedging effectiveness of US banks when expose to both risks of interest rate and currency. There are few studies focus on bank’s hedging effectiveness under portfolio effect and regime switching effect. This paper tr...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/62862964338036905778 |