Advances in Asset Liability Management and Interest Rate Risk Modeling in Retail and Investment Banking

References

[1] Abadi, M. I. A. (2005). Banks Net Interest Rate Margins Under Default Risk, Interest Rate Risk, And Market And Institutional Imperfectlons. مجلة المنارة للبحوث والدراسات, 33. https://doi.org/10.33985/0531-011-002-020

[2] Abbas, F., Iqbal, S., & Aziz, B. (2019). The impact of bank capital, bank liquidity and credit risk on profitability in postcrisis period:‎ A comparative study of US and Asia. Cogent Economics & Finance, 7(1), 1605683. https://doi.org/10.1080/23322039.2019.1605683

[3] ABBATE, A., & THALER, D. (2019). Monetary Policy and the Asset Risk‐Taking Channel. Journal of Money, Credit and Banking, 51(8), 2115-2144. https://doi.org/10.1111/jmcb.12621

[4] Abdel Megeid, N. S. (2017). Liquidity risk management: conventional versus Islamic banking system in Egypt. Journal of Islamic Accounting and Business Research, 8(1), 100-128. https://doi.org/10.1108/jiabr-05-2014-0018

[5] Abdymomunov, A., & Gerlach, J. (2014). Stress testing interest rate risk exposure. Journal of Banking & Finance, 49, 287. https://doi.org/10.1016/j.jbankfin.2014.08.013

[6] Abioye, R. F., Okojie, J. S., Filani, O. M., Ike, P. N., Idu, J. O. O., Nnabueze, S. B., Okojokwu-Idu, J. O., & Ihwughwavwe, S. I. (2023). Automated ESG reporting in energy projects using blockchain-driven smart compliance management systems. International Journal of Multidisciplinary Evolutionary Research, 4(2), 120–129. https://doi.org/10.54660/IJMER.2023.4.2.120-129

[7] Adelanwa, A., Basnet, A., & Anene, U. N. (2023a). Data driven digital transformation models for lifecycle performance management in infrastructure delivery. International Journal of Advanced Multidisciplinary Research and Studies, 3(6), 2646-2662. https://doi.org/10.62225/2583049X.2023.3.6.5968

[8] Adelanwa, A., Basnet, A., & Anene, U. N. (2023b). Predictive analytics models for financial risk detection and fraud prevention in public systems. International Journal of Advanced Multidisciplinary Research and Studies, 3(6). https://doi.org/10.62225/2583049X.2023.3.6.5969

[9] Adelanwa, A., Basnet, A., & Anene, U. N. (2023). Data driven digital transformation models for lifecycle performance management in infrastructure delivery. International Journal of Advanced Multidisciplinary Research and Studies, 3(6), 2646–2662.

[10] Adeyelu, O. O. (2020). An artificial intelligence-driven conceptual model for wildlife strike risk quantification and aircraft airworthiness impact assessment at high-traffic African airports. Iconic Research and Engineering Journals, 4(1), 339-368. https://doi.org/10.64388/IREV4I1-1718482

[11] Adeyelu, O. O. (2023). A risk-tiered oversight model for unmanned aircraft operations in shared controlled airspace over Nigerian airports. International Journal of Scientific Research in Civil Engineering, 7(4), 147-184. https://doi.org/10.32628/IJSRCE237419

[12] Agbabiaka, J., Okonkwo, C. S., Ogunwole, O., Mayo, W., & Okeke, O. T. (2019). Supply chain risk management model for EPC and gas processing projects. Iconic Research and Engineering Journals, 3(2), 968-980. https://doi.org/10.64388/IREV3I2-1713124

[13] Agbabiaka, J., Okonkwo, C. S., Ogunwole, O., Mayo, W., & Okeke, O. T. (2019). Supply chain risk management model for EPC and gas processing projects. IRE Journals, 3(2), 968–980. https://doi.org/10.64388/IREV3I2-1713124

[14] Akeju, B., Edivri, J., Ogbole, J. I., Okoruwa, P. O., Fadayomi, O., & Abolaji, T. O. (2018). Conceptual model for insider threat classification and risk modeling in complex digital systems. Iconic Research and Engineering Journals, 1(9), 476–492. https://doi.org/10.64388/IREV1I9-1713778

[15] Akeju, B., Edivri, J., Ogbole, J. I., Okoruwa, P. O., Fadayomi, O., & Abolaji, T. O. (2018). Conceptual model for insider threat classification and risk modeling in complex digital systems. IRE Journals, 1(9). https://doi.org/10.64388/IREV1I9-1713778

[16] Akomolafe, O., & Agu, M. U. (2018). A conceptual model for enhancing internal audit quality through technology-enabled risk assessment frameworks. Iconic Research and Engineering Journals, 1(9), 458-475.

[17] Akomolafe, O., & Agu, M. U. (2019a). A conceptual framework for developing risk-based internal control models in the insurance and banking sectors. Iconic Research and Engineering Journals, 2(8), 335-354.

[18] Akomolafe, O., & Agu, M. U. (2019). A conceptual framework for developing risk-based internal control models in the insurance and banking sectors. Iconic Research and Engineering Journals, 2(8), 335-354.

[19] Akomolafe, O., & Agu, M. U. (2019b). A review of data-driven risk evaluation models for emerging market financial institutions. Iconic Research and Engineering Journals, 3(6), 433-448.

[20] Akomolafe, O., Agu, M. U., & Bello, A. (2023a). A conceptual model for implementing risk-based auditing in strategic financial management. International Journal of Advanced Multidisciplinary Research and Studies, 3(6), 2274-2286. https://doi.org/10.62225/2583049X.2023.3.6.5359

[21] Akomolafe, O., Agu, M. U., & Bello, A. (2023b). A quantitative conceptual model for assessing compliance risk in emerging economies. International Journal of Advanced Multidisciplinary Research and Studies, 3(6), 2287-2296. https://doi.org/10.62225/2583049X.2023.3.6.5360

[22] Akomolafe, O., Olaogun, B. O., Adesuyi, M. O., Ndukwe, V. U., & Sakyi, J. K. (2023). Predictive AI model for remittance liquidity optimization in international payment systems. International Journal of Multidisciplinary Research and Growth Evaluation, 4(6), 1301-1311. https://doi.org/10.54660/.IJMRGE.2023.4.6.1301-1311

[23] Akram, H., Rahman, K. u., & Abbas, G. (2018). Impact of Loan Quality, Funding Management and Asset Quality on Liquidity Risk Management of Pakistani Banks. COMSATS Journal of Islamic Finance, 3(1), 65-83. https://doi.org/10.26652/cjif.3201815

[24] Albizzati, M., & Geman, H. (1994). Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies. The Journal of Risk and Insurance, 61(4), 616. https://doi.org/10.2307/253641

[25] Alessandri, P., & Drehmann, M. (2010). An economic capital model integrating credit and interest rate risk in the banking book. Journal of Banking & Finance, 34(4), 730. https://doi.org/10.1016/j.jbankfin.2009.06.012

[26] Aliliele, C., Mbonu, I. S., & Iwuanyanwu, U. (2023a). A conceptual framework for continuous cloud misconfiguration monitoring and enterprise risk mitigation strategies. International Journal of Scientific Research in Computer Science, Engineering and Information Technology, 9(10), 373-394. https://doi.org/10.32628/CSEIT2361071

[27] Aliliele, C., Mbonu, I. S., & Iwuanyanwu, U. (2023b). A review of API governance and risk prioritization frameworks in modern financial institutions. International Journal of Scientific Research in Computer Science, Engineering and Information Technology, 9(10), 395-433. https://doi.org/10.32628/CSEIT2361072

[28] Aliliele, C., Mbonu, I. S., & Iwuanyanwu, U. (2023c). Advances in predictive analytics models for student retention and institutional risk management systems. International Journal of Advanced Multidisciplinary Research and Studies, 3(6), 2692-2711. https://doi.org/10.62225/2583049X.2023.3.6.5990

[29] Allais, M. (1974). The Psychological Rate of Interest. Journal of Money, Credit and Banking, 6(3), 285. https://doi.org/10.2307/1991172

[30] Almeida, C., & Vicente, J. (2009). Are interest rate options important for the assessment of interest rate risk?. Journal of Banking & Finance, 33(8), 1376. https://doi.org/10.1016/j.jbankfin.2009.02.003

[31] Al-Slehat, Z. A. F. (2022). EFFECT OF INTEREST RATE RISK ON FINANCIAL PERFORMANCE THE MEDIATING ROLE OF BANKING SECURITY DEGREE: EVIDENCE FROM THE FINANCIAL SECTOR IN JORDAN. Business: Theory and Practice, 23(1), 165-174. https://doi.org/10.3846/btp.2022.13884

[32] Amalia, S. Q., & Suriani, S. (2023). Do Interest Rate Policy and Liquidity Effect on Banking Credit Risk in Indonesia?. Signifikan: Jurnal Ilmu Ekonomi, 12(1), 145. https://doi.org/10.15408/sjie.v12i1.27119

[33] Angbazo, L. (1997). Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking. Journal of Banking & Finance, 21(1), 55. https://doi.org/10.1016/s0378-4266(96)00025-8

[34] Anning, F. (2018). An Assessment of Bank Financial Management in Lieu of Measuring and Managing Interest Rate Risk Case Study of BFFSL. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3234991

[35] Arumosoye, O. M., & Obriki, O. D. (2018). Development of an integrated heat stress risk conceptual model for industrial operations in extreme environments. Iconic Research and Engineering Journals, 1(12), 141-160. https://doi.org/10.64388/IREV1I12-1714415

[36] Arumosoye, O. M., & Obriki, O. D. (2022). Conceptual risk pathway model for lifting and rigging operations in heavy industrial construction. Gyanshauryam, International Scientific Refereed Research Journal, 5(5), 346-369. https://doi.org/10.32628/GISRRJ2256237

[37] Ashton, J. K., & Hudson, R. S. (2008). Interest rate clustering in UK financial services markets. Journal of Banking & Finance, 32(7), 1393-1403. https://doi.org/10.1016/j.jbankfin.2007.11.002

[38] Asiedu, C. S. (2022). Drug interaction risk in antenatal care: A conceptual framework for systematic interaction screening. Shodhshauryam, International Scientific Refereed Research Journal, 5(3), 465-484.

[39] Atakpa, M. I. (2021). A review of predictive analytics models for anti-money laundering detection in commercial banking systems. International Journal of Scientific Research in Computer Science, Engineering and Information Technology, 7(2), 778-804. https://doi.org/10.32628/CSEIT2064813

[40] Atakpa, M. I., & Abetoh, N. F. (2022). A systematic review of machine learning advances in financial fraud detection for banking systems. International Journal of Scientific Research in Computer Science, Engineering and Information Technology, 8(2), 771-801. https://doi.org/10.32628/CSEIT23906220

[41] Atta, S., Tofah, P., Kankam, M. A., & Adenuga, O. M. (2020). A critical review of NDT-based integrity management and corrosion risk assessment strategies for refinery process equipment. International Journal of Engineering and Modern Technology, 6(2), 19-46. https://doi.org/10.56201/ijemt.vol.6.no2.2020.pg19.46

[42] Ausloos, M., Ma, Q., Kaur, P., Syed, B., & Dhesi, G. (2019). Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization. Soft Computing, 24(18), 13609-13627. https://doi.org/10.1007/s00500-019-04376-7

[43] Bace, E. (2016). Bank profitability: Liquidity, capital and asset quality. Journal of Risk Management in Financial Institutions, 9(4), 327. https://doi.org/10.69554/crpu2203

[44] Bali, T. G., & Wu, L. (2006). A comprehensive analysis of the short-term interest-rate dynamics. Journal of Banking & Finance, 30(4), 1269-1290. https://doi.org/10.1016/j.jbankfin.2005.05.003

[45] Baranoff, E. G., & Sager, T. W. (2002). The relations among asset risk, product risk, and capital in the life insurance industry. Journal of Banking & Finance, 26(6), 1181-1197. https://doi.org/10.1016/s0378-4266(01)00166-2

[46] Barry, T., Diabat&eacute, A., & Tarazi, A. (2020). Unexpected Deposit Flows, Off-Balance Sheet Funding Liquidity Risk and Bank Loan Production. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3560114

[47] Bastray, T., & Sheela, P. (2016). Status and Impact of Asset Liability Management - A Comparative Study of selected Public and Private Sector Banks. Asian Journal of Research in Banking and Finance, 6(12). https://doi.org/10.5958/2249-7323.2016.00054.7

[48] Baum, C. F., & Barkoulas, J. (2006). Dynamics of Intra-EMS Interest Rate Linkages. Journal of Money, Credit, and Banking, 38(2), 469-482. https://doi.org/10.1353/mcb.2006.0024

[49] Bawa, J. K., & Basu, S. (2020). Restructuring assets reform, 2013: Impact of operational ability, liquidity, bank capital, profitability and capital on bank credit risk. IIMB Management Review, 32(3), 267. https://doi.org/10.1016/j.iimb.2019.10.009

[50] Bekaert, G., & Hoerova, M. (2016). What do asset prices have to say about risk appetite and uncertainty?. Journal of Banking & Finance, 67, 103-118. https://doi.org/10.1016/j.jbankfin.2015.06.015

[51] Beliaeva, N., & Nawalkha, S. (2012). Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models. Journal of Banking & Finance, 36(1), 151-163. https://doi.org/10.1016/j.jbankfin.2011.06.012

[52] Bello, A., Akomolafe, O., & Agu, M. U. (2023). A conceptual framework for data-driven procurement risk management in multinational enterprises. International Journal of Advanced Multidisciplinary Research and Studies, 3(6), 2307-2316. https://doi.org/10.62225/2583049X.2023.3.6.5363

[53] Benhabib, J., Schmitt-Grohe, S., & Uribe, M. (2003). Backward-Looking Interest-Rate Rules, Interest-Rate Smoothing, and Macroeconomic Instability. Journal of Money, Credit, and Banking, 35(6b), 1379-1412. https://doi.org/10.1353/mcb.2004.0020

[54] Benink, H. (2020). Global Bank Capital and Liquidity after 30 Years of Basel Accords. Journal of Risk and Financial Management, 13(4), 73. https://doi.org/10.3390/jrfm13040073

[55] Beutler, T., Bichsel, R., Bruhin, A., & Danton, J. (2020). The impact of interest rate risk on bank lending. Journal of Banking & Finance, 115, 105797. https://doi.org/10.1016/j.jbankfin.2020.105797

[56] Blöchlinger, A. (2021). Interest rate risk in the banking book: A closed-form solution for non-maturity deposits. Journal of Banking & Finance, 125, 106080. https://doi.org/10.1016/j.jbankfin.2021.106080

[57] Bola-Sadipe, D., Eboh, E. E., & Odihi, F. (2022). Advances in data-driven tax compliance and financial reporting systems in banking institutions. Shodhshauryam, International Scientific Refereed Research Journal, 5(1), 366-403. https://doi.org/10.32628/SHISRRJ247137

[58] Bollen, N. P., & Posavac, S. (2018). Gender, risk tolerance, and false consensus in asset allocation recommendations. Journal of Banking & Finance, 87, 304-317. https://doi.org/10.1016/j.jbankfin.2017.10.016

[59] Borgo, M. D. (2022). Internal models for deposits: Effects on banks' capital and interest rate risk of assets. Journal of Banking & Finance, 135, 105940. https://doi.org/10.1016/j.jbankfin.2020.105940

[60] Boulier, J. F., & Schoeffler, P. (1992). Embedded options in commercial banking and their impact on asset liability management. Applied Stochastic Models and Data Analysis, 8(3), 137. https://doi.org/10.1002/asm.3150080304

[61] Bretscher, L., Schmid, L., & Vedolin, A. (2018). Interest Rate Risk Management in Uncertain Times. The Review of Financial Studies, 31(8), 3019-3060. https://doi.org/10.1093/rfs/hhy039

[62] Brewer III, E., Minton, B. A., & Moser, J. T. (2000). Interest-rate derivatives and bank lending. Journal of Banking & Finance, 24(3), 353-379. https://doi.org/10.1016/s0378-4266(99)00041-2

[63] Brown, K. C., & Smith, D. J. (1988). Recent Innovations in Interest Rate Risk Management and the Reintermediation of Commercial Banking. Financial Management, 17(4), 45. https://doi.org/10.2307/3665766

[64] Burić, M. N., Kašćelan, V., Radović, M., & Filipović, A. L. (2018). Mechanisms of Protection from Interest Rate Risk with Reference to the Life Insurance Market in Montenegro. Journal of Central Banking Theory and Practice, 7(1), 17-42. https://doi.org/10.2478/jcbtp-2018-0002

[65] Callen, J. L., & Fang, X. (2015). Short interest and stock price crash risk. Journal of Banking & Finance, 60, 181-194. https://doi.org/10.1016/j.jbankfin.2015.08.009

[66] Calomiris, C. W., Jaremski, M., Park, H., & Richardson, G. (2015). Liquidity Risk, Bank Networks, and the Value of Joining the Fed. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2562408

[67] Caporale, T., & Grier, K. B. (2000). Political Regime Change and the Real Interest Rate. Journal of Money, Credit and Banking, 32(3), 320. https://doi.org/10.2307/2601168

[68] Carcano, N., & Foresi, S. (1997). Hedging against interest rate risk: Reconsidering volatility-adjusted immunization. Journal of Banking & Finance, 21(2), 127-141. https://doi.org/10.1016/s0378-4266(96)00031-3

[69] Carey, A. (2001). Effective risk management in financial institutions: the turnbull approach. Balance Sheet, 9(3), 24-27. https://doi.org/10.1108/09657960110696014

[70] Castagna, A. (2018). Analysis of the New Standards to Measure and Manage the Interest Rate Risk of the Banking Book Issued by BIS Committee. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3167696

[71] Chan, M. K., & Kwok, S. (2017). Risk-sharing, market imperfections, asset prices: Evidence from China’s stock market liberalization. Journal of Banking & Finance, 84, 166-187. https://doi.org/10.1016/j.jbankfin.2017.06.003

[72] Chaudron, R. F. (2018). Bank's interest rate risk and profitability in a prolonged environment of low interest rates. Journal of Banking & Finance, 89, 94. https://doi.org/10.1016/j.jbankfin.2018.01.007

[73] Chen, I., Lee, Y., & Liu, Y. (2019). Bank liquidity, macroeconomic risk, and bank risk: Evidence from the Financial Services Modernization Act. European Financial Management, 26(1), 143. https://doi.org/10.1111/eufm.12208

[74] Che, X., & Liebenberg, A. P. (2017). Effects of business diversification on asset risk-taking: Evidence from the U.S. property-liability insurance industry. Journal of Banking & Finance, 77, 122-136. https://doi.org/10.1016/j.jbankfin.2017.01.004

[75] Chong, B. S. (2010). Interest rate deregulation: Monetary policy efficacy and rate rigidity. Journal of Banking & Finance, 34(6), 1299-1307. https://doi.org/10.1016/j.jbankfin.2009.11.026

[76] Christensen, B. J., Kjær, M. M., & Veliyev, B. (2023). The incremental information in the yield curve about future interest rate risk. Journal of Banking & Finance, 155, 106973. https://doi.org/10.1016/j.jbankfin.2023.106973

[77] Claassen, S., & Van Rooyen, J. (2012). Bank liquidity risk management: A South African survey to determine future change. Risk Governance and Control: Financial Markets and Institutions, 2(3), 33-53. https://doi.org/10.22495/rgcv2i3art3

[78] Claessens, S., & Horen, N. v. (2012). Being a foreigner among domestic banks: Asset or liability?. Journal of Banking & Finance, 36(5), 1276. https://doi.org/10.1016/j.jbankfin.2011.11.020

[79] Claußen, C., & Platte, D. (2023). Evaluating the validity of regulatory interest rate risk measures – a simulation approach. Journal of Banking & Finance, 154, 106933. https://doi.org/10.1016/j.jbankfin.2023.106933

[80] Consiglio, A., Saunders, D., & Zenios, S. A. (2006). Asset and liability management for insurance products with minimum guarantees: The UK case. Journal of Banking & Finance, 30(2), 645-667. https://doi.org/10.1016/j.jbankfin.2005.04.009

[81] Cummins, J., & Grace, E. (1994). Tax management and investment strategies of property-liability insurers. Journal of Banking & Finance, 18(1), 43-72. https://doi.org/10.1016/0378-4266(94)00078-6

[82] Dada, O., Ekpedo, L. N., & Oladipupo, A. O. (2020). A Review of Liquidity Risk Management and Stress Testing Practices in Global Financial Institutions. International Journal of Multidisciplinary Research and Growth Evaluation, 1(5), 756. https://doi.org/10.54660/.ijmrge.2020.1.5.756-767

[83] Dada, T., Isiekwu, C. P., & Oluwo, K. (2021a). Advances in multinational cash flow consolidation and FX risk control using tiered treasury architecture. Iconic Research and Engineering Journals, 4(11), 601-620. https://doi.org/10.64388/IREV4I11-1714351

[84] Dada, T., Isiekwu, C. P., & Oluwo, K. (2021). Advances in multinational cash flow consolidation and FX risk control using tiered treasury architecture. Iconic Research and Engineering Journals, 4(11), 601–620. https://doi.org/10.64388/IREV4I11-1714351

[85] Dagodzo, D., & Ahiaeke Patrick, M. C. (2021a). A review of GIS applications in utility asset management and infrastructure planning. Iconic Research and Engineering Journals, 5(3), 468-492. https://doi.org/10.64388/IREV5I3-1716085

[86] Dagodzo, D., & Ahiaeke Patrick, M. C. (2021). A review of GIS applications in utility asset management and infrastructure planning. Iconic Research and Engineering Journals, 5(3), 468-492. https://doi.org/10.64388/IREV5I3-1716085

[87] Dahlquist, M. (1996). On alternative interest rate processes. Journal of Banking & Finance, 20(6), 1093-1119. https://doi.org/10.1016/0378-4266(95)00045-3

[88] David Cummins, J., & Sommer, D. W. (1996). Capital and risk in property-liability insurance markets. Journal of Banking & Finance, 20(6), 1069-1092. https://doi.org/10.1016/0378-4266(95)00044-5

[89] De Alcântara, W. R. (2015). Liquidity effects in banks’ capital allocation decisions. Journal of Risk Management in Financial Institutions, 8(2), 163. https://doi.org/10.69554/hfmo8535

[90] Delis, M. D., & Kouretas, G. P. (2011). Interest rates and bank risk-taking. Journal of Banking & Finance, 35(4), 840-855. https://doi.org/10.1016/j.jbankfin.2010.09.032

[91] Deuskar, P., Gupta, A., & Subrahmanyam, M. G. (2008). The economic determinants of interest rate option smiles. Journal of Banking & Finance, 32(5), 714-728. https://doi.org/10.1016/j.jbankfin.2007.05.012

[92] Dionne, G., Pacurar, M., & Zhou, X. (2015). Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse. Journal of Banking & Finance, 59, 202-219. https://doi.org/10.1016/j.jbankfin.2015.06.005

[93] Dosunmu, A. A., & Ogundele, P. O. (2019). Security audit and enterprise risk assessment frameworks for resilient information systems. Iconic Research and Engineering Journals, 3(5), 434-447. https://doi.org/10.64388/IREV3I5-1713225

[94] Dosunmu, A. A., & Ogundele, P. O. (2019). Security audit and enterprise risk assessment frameworks for resilient information systems. IRE Journals, 3(5).

[95] DRECHSLER, I., SAVOV, A., & SCHNABL, P. (2021). Banking on Deposits: Maturity Transformation without Interest Rate Risk. The Journal of Finance, 76(3), 1091. https://doi.org/10.1111/jofi.13013

[96] Drehmann, M., Sorensen, S., & Stringa, M. (2008). The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspective. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.966270

[97] Drehmann, M., Sorensen, S., & Stringa, M. (2010). The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application. Journal of Banking & Finance, 34(4), 713. https://doi.org/10.1016/j.jbankfin.2009.06.009

[98] Duan, J., Moreau, A. F., & Sealey, C. (1995). Deposit insurance and bank interest rate risk: Pricing and regulatory implications. Journal of Banking & Finance, 19(6), 1091. https://doi.org/10.1016/0378-4266(95)00073-p

[99] Duan, J., & Yu, M. (2005). Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk. Journal of Banking & Finance, 29(10), 2435-2454. https://doi.org/10.1016/j.jbankfin.2004.08.012

[100] Eboh, E. E., & Aliliele, C. (2023). Portfolio risk optimization models for venture capital investment strategy and fraud exposure analysis. Iconic Research and Engineering Journals, 7(4), 759-792. https://doi.org/10.64388/IREV7I4-1715305

[101] Eichberger, J., & Summer, M. (2005). Bank Capital, Liquidity, and Systemic Risk. Journal of the European Economic Association, 3(2-3), 547-555. https://doi.org/10.1162/jeea.2005.3.2-3.547

[102] Eichberger, J., & Summer, M. (2005). Bank Capital, Liquidity, and Systemic Risk. Journal of the European Economic Association, 3(2-3), 547. https://doi.org/10.1162/jeea.2005.3.2-3.547

[103] ÇELİK, İ. E. (2019). EVALUATING THE DETERMINANTS OF MARKET, EXCHANGE RATE AND INTEREST RATE RISKS IN THE PRE- AND POST FINANCIAL CRISIS FOR THE TURKISH BANKING INDUSTRY. International Journal of Management Economics and Business, 15(3), 0-0. https://doi.org/10.17130/ijmeb.2019355045

[104] Entrop, O., Wilkens, M., & Zeisler, A. (2009). Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter. European Financial Management, 15(5), 1001-1018. https://doi.org/10.1111/j.1468-036x.2009.00509.x

[105] Erhardt, J., Lübbers, J., & Posch, P. N. (2017). Bail-in and asset encumbrance - Implications for banks’ asset liability management. Journal of Banking Regulation, 18(2), 149. https://doi.org/10.1057/jbr.2016.4

[106] Esposito, L., Nobili, A., & Ropele, T. (2015). The management of interest rate risk during the crisis: Evidence from Italian banks. Journal of Banking & Finance, 59, 486. https://doi.org/10.1016/j.jbankfin.2015.04.031

[107] EVANS, G. W., & MCGOUGH, B. (2018). Interest‐Rate Pegs in New Keynesian Models. Journal of Money, Credit and Banking, 50(5), 939-965. https://doi.org/10.1111/jmcb.12523

[108] Eyetsemitan, R. A., Oyeleye, A. O., Ambali, K. B., & Fadayomi, O. (2022). Standard operating procedures as strategic assets in small business operations: A systematic review and implementation framework. Gyanshauryam, International Scientific Refereed Research Journal, 5(2), 438-465. https://doi.org/10.32628/GISRRJ225356

[109] Fadayomi, O., Abolaji, T. O., Edivri, J., Ogbole, J. I., Okoruwa, P. O., & Akeju, B. (2019). Risk-based cybersecurity assurance and data availability limitations, advances and future research opportunities. Iconic Research and Engineering Journals, 2(12), 602–617. https://doi.org/10.64388/IREV2I12-1713779

[110] Fadayomi, O., Abolaji, T. O., Edivri, J., Ogbole, J. I., Okoruwa, P. O., & Akeju, B. (2019). Risk-based cybersecurity assurance and data availability: Limitations, advances and future research opportunities. IRE Journals, 2(12). https://doi.org/10.64388/IREV2I12-1713779

[111] Fakhfakh, I., & Jarboui, A. (2020). Audit certification, earnings management and risk governance: a moderated-mediation analysis. Journal of Financial Reporting and Accounting, 18(2), 277-299. https://doi.org/10.1108/jfra-01-2019-0015

[112] Falegan, O. C., & Aniebonam, S. O. (2022). Conceptual framework for lifecycle risk assessment in offshore produced water management. Gyanshauryam, International Scientific Refereed Research Journal, 5(5), 322-345.

[113] Ferguson, T. (2018). Economic capital: A brief history and practical applications today. Journal of Risk Management in Financial Institutions, 12(1), 57. https://doi.org/10.69554/otnh6466

[114] Ferstl, R., & Weissensteiner, A. (2011). Asset-liability management under time-varying investment opportunities. Journal of Banking & Finance, 35(1), 182-192. https://doi.org/10.1016/j.jbankfin.2010.07.028

[115] FF, A., & OT, D. (2019). Risk Assets Management, Liquidity Management and Sustainable Performance in Nigeria Deposit Money Banks. International Journal of Accounting Research, 06(02). https://doi.org/10.35248/2472-114x.18.6.178

[116] Flannery, M. J., Hameed, A. S., & Harjes, R. H. (1997). Asset pricing, time-varying risk premia and interest rate risk. Journal of Banking & Finance, 21(3), 315. https://doi.org/10.1016/s0378-4266(96)00044-1

[117] Fu, J., Wang, X., & Wang, Y. (2012). Credit spreads, endogenous bankruptcy and liquidity risk. Computational Management Science, 9(4), 515-530. https://doi.org/10.1007/s10287-012-0153-3

[118] GALí, J. (2020). Uncovered Interest Parity, Forward Guidance and the Exchange Rate. Journal of Money, Credit and Banking, 52(S2), 465-496. https://doi.org/10.1111/jmcb.12759

[119] Gerlach, J. R., Mora, N., & Uysal, P. (2018). Bank funding costs in a rising interest rate environment. Journal of Banking & Finance, 87, 164-186. https://doi.org/10.1016/j.jbankfin.2017.09.011

[120] Ghenimi, A., Chaibi, H., & Omri, M. A. B. (2020). Liquidity risk determinants: Islamic vs conventional banks. International Journal of Law and Management, 63(1), 65-95. https://doi.org/10.1108/ijlma-03-2018-0060

[121] Ghosh, S. (2022). Financial inclusion and banking stability: Does interest rate repression matter?. Finance Research Letters, 50, 103205. https://doi.org/10.1016/j.frl.2022.103205

[122] Giandomenico, R. (2010). Asset Liability Management in Insurance Companies and Banks: Quantitative Models. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2545467

[123] Giulioni, G. (2015). Policy interest rate, loan portfolio management and bank liquidity. The North American Journal of Economics and Finance, 31, 52-74. https://doi.org/10.1016/j.najef.2014.10.008

[124] Gülpinar, N., & Pachamanova, D. (2013). A robust optimization approach to asset-liability management under time-varying investment opportunities. Journal of Banking & Finance, 37(6), 2031-2041. https://doi.org/10.1016/j.jbankfin.2013.01.025

[125] Goldfarb, D. R. (1987). Hedging interest rate risk in banking. Journal of Futures Markets, 7(1), 35. https://doi.org/10.1002/fut.3990070105

[126] Golinelli, R., & Rovelli, R. (2005). Monetary policy transmission, interest rate rules and inflation targeting in three transition countries. Journal of Banking & Finance, 29(1), 183-201. https://doi.org/10.1016/j.jbankfin.2004.06.021

[127] Golubeva, O., Duljic, M., & Keminen, R. (2019). The impact of liquidity risk on bank profitability: some empirical evidence from the European banks following the introduction of Basel III regulations. Journal of Accounting and Management Information Systems, 18(4). https://doi.org/10.24818/jamis.2019.04001

[128] Goodfriend, M. (2000). Overcoming the Zero Bound on Interest Rate Policy. Journal of Money, Credit and Banking, 32(4), 1007. https://doi.org/10.2307/2601157

[129] Goyal, R., & McKinnon, R. (2003). Japan's Negative Risk Premium in Interest Rates: The Liquidity Trap and the Fall in Bank Lending. The World Economy, 26(3), 339-363. https://doi.org/10.1111/1467-9701.00526

[130] Grossman, R. S. (2001). Double Liability and Bank Risk Taking. Journal of Money, Credit and Banking, 33(2), 143. https://doi.org/10.2307/2673878

[131] Guo, G., & Wu, H. (2014). A study on risk retention regulation in asset securitization process. Journal of Banking & Finance, 45, 61-71. https://doi.org/10.1016/j.jbankfin.2013.12.027

[132] GUPTA, A., & SUBRAHMANYAM, M. (2005). Pricing and hedging interest rate options: Evidence from cap–floor markets. Journal of Banking & Finance, 29(3), 701-733. https://doi.org/10.1016/s0378-4266(04)00054-8

[133] Gurel, E., & Pyle, D. (1984). Bank Income Taxes and Interest Rate Risk Management: A Note. The Journal of Finance, 39(4), 1199. https://doi.org/10.2307/2327623

[134] Hahm, J. (2004). Interest rate and exchange rate exposures of banking institutions in pre-crisis Korea. Applied Economics, 36(13), 1409-1419. https://doi.org/10.1080/0003684042000206979

[135] Hakimi, A., & Zaghdoudi, K. (2017). Liquidity Risk and Bank Performance: An Empirical Test for Tunisian Banks. Business and Economic Research, 7(1), 46. https://doi.org/10.5296/ber.v7i1.10524

[136] Halloran, J. A., & Yawitz, J. B. (1979). The effect of mortgage form on borrower interest rate risk. Journal of Banking & Finance, 3(2), 187-200. https://doi.org/10.1016/0378-4266(79)90014-1

[137] Hautsch, N., & Ou, Y. (2012). Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields. Journal of Banking & Finance, 36(11), 2988. https://doi.org/10.1016/j.jbankfin.2012.06.020

[138] Hellwig, M. (1994). Liquidity provision, banking, and the allocation of interest rate risk. European Economic Review, 38(7), 1363. https://doi.org/10.1016/0014-2921(94)90015-9

[139] Hemert, O. V. (2010). Household Interest Rate Risk Management. Real Estate Economics, 38(3), 467. https://doi.org/10.1111/j.1540-6229.2010.00274.x

[140] Hess, A. C., & Kamara, A. (2005). Conditional Time-Varying Interest Rate Risk Premium: Evidence from the Treasury Bill Futures Market. Journal of Money, Credit, and Banking, 37(4), 679-698. https://doi.org/10.1353/mcb.2005.0042

[141] He, Z. (2020). Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book. The Journal of Risk. https://doi.org/10.21314/jor.2020.436

[142] Hibiki, N., & Fukukawa, T. (1992). Goal Programming Model Approach for Risk Management on Banking Based on Asset Liability Management (ALM). Journal of the Operations Research Society of Japan, 35(4), 319. https://doi.org/10.15807/jorsj.35.319

[143] Holmstrom, B., & Tirole, J. (2000). Liquidity and Risk Management. Journal of Money, Credit and Banking, 32(3), 295. https://doi.org/10.2307/2601167

[144] Holton, S., & Rodriguez d’Acri, C. (2018). Interest rate pass-through since the euro area crisis. Journal of Banking & Finance, 96, 277-291. https://doi.org/10.1016/j.jbankfin.2018.08.012

[145] Huber, J., Palan, S., & Zeisberger, S. (2019). Does investor risk perception drive asset prices in markets? Experimental evidence. Journal of Banking & Finance, 108, 105635. https://doi.org/10.1016/j.jbankfin.2019.105635

[146] Ippolito, F., Peydró, J., Polo, A., & Sette, E. (2016). Double bank runs and liquidity risk management. Journal of Financial Economics, 122(1), 135. https://doi.org/10.1016/j.jfineco.2015.11.004

[147] Irani, R. M., & Meisenzahl, R. R. (2015). Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2670886

[148] Jones, B. C., & Ominyi, M. (2021). Developing a conceptual framework linking West African agricultural value chains to household economic stability. International Journal of Economics and Financial Management, 6(2), 89–114. https://doi.org/10.56201/ijefm.v6.no2.2021.pg89.114

[149] Joshi, M. S. P., & Sontakay, D. R. V. (2018). Comparative Analysis of Asset Liability and Risk Management of Selected Urban Cooperative Banks in Nagpur Region using CAMEL Model. International Journal of Trend in Scientific Research and Development, Volume-2(Issue-3), 2029. https://doi.org/10.31142/ijtsrd11590

[150] Jung, T., Teranishi, Y., & Watanabe, T. (2005). Optimal Monetary Policy at the Zero-Interest-Rate Bound. Journal of Money, Credit, and Banking, 37(5), 813-835. https://doi.org/10.1353/mcb.2005.0053

[151] Kaitao, T., Jiman, Z., & Zhongshu, W. (2022). Research on the Influence of Interest Rate Liberalization on Commercial Banks’ Asset Liability Management. Finance and Economics Focusing, 4(1), 1. https://doi.org/10.35534/fef.0401001

[152] Kanas, A. (2008). On real interest rate dynamics and regime switching. Journal of Banking & Finance, 32(10), 2089-2098. https://doi.org/10.1016/j.jbankfin.2006.10.027

[153] Katsimbris, G. M., & Miller, S. M. (1993). Interest Rate Linkages Within the European Monetary System: Further Analysis. Journal of Money, Credit and Banking, 25(4), 771. https://doi.org/10.2307/2077804

[154] Khaliq, A., Thaker, H. M. T., & Thaker, M. A. M. T. (2017). Interest Rate Risk Management and Islamic Banking : Evidence from Malaysia. Journal of Islamic Finance, 6(1), 16. https://doi.org/10.12816/0042730

[155] Kim, J. (2017). BANK COMPETITION AND FINANCIAL STABILITY: LIQUIDITY RISK PERSPECTIVE. Contemporary Economic Policy, 36(2), 337. https://doi.org/10.1111/coep.12243

[156] Kleimeier, S., & Sander, H. (2006). Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets. Journal of Banking & Finance, 30(7), 1839-1870. https://doi.org/10.1016/j.jbankfin.2005.07.006

[157] Kosmidou, K., & Zopounidis, C. (2007). Generating interest rate scenarios for bank asset liability management. Optimization Letters, 2(2), 157. https://doi.org/10.1007/s11590-007-0050-9

[158] Krušković, B. D. (2017). Exchange Rate and Interest Rate in the Monetary Policy Reaction Function. Journal of Central Banking Theory and Practice, 6(1), 55-86. https://doi.org/10.1515/jcbtp-2017-0004

[159] Lalon, R. M. (2017). Interest Rate Risk Management of Commercial Banks in Bangladesh Based on IS (Interest Sensitivity) GAP Analysis. International Journal of Economics, Finance and Management Sciences, 5(1), 15. https://doi.org/10.11648/j.ijefm.20170501.12

[160] Lamidi, O. B. A., & Olamide, A. (2018). Spatially explicit risk modeling framework for tracking subsurface contaminant migration in data-limited remediation sites. Iconic Research and Engineering Journals, 2(6), 178–198. https://www.irejournals.com/paper-details/1713080

[161] Lang, L. H., Litzenberger, R. H., & Luchuan Liu, A. (1998). Determinants of interest rate swap spreads. Journal of Banking & Finance, 22(12), 1507-1532. https://doi.org/10.1016/s0378-4266(98)00068-5

[162] Larsen, L. S., & Munk, C. (2012). The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts. Journal of Economic Dynamics and Control, 36(2), 266-293. https://doi.org/10.1016/j.jedc.2011.09.009

[163] Lawal, O. A., & Oduleye, T. E. (2019a). A conceptual risk assessment model for transfer pricing in multinational corporations. Iconic Research and Engineering Journals, 2(12).

[164] Lawal, O. A., & Oduleye, T. E. (2019). A conceptual risk assessment model for transfer pricing in multinational corporations. IRE Journals, 2(12).

[165] Li, G. (2007). Time-varying risk aversion and asset prices. Journal of Banking & Finance, 31(1), 243-257. https://doi.org/10.1016/j.jbankfin.2006.02.005

[166] Lin, T., Tsai, C. C., & Cheng, H. (2022). Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds. North American Actuarial Journal, 27(1), 74. https://doi.org/10.1080/10920277.2021.2022498

[167] Li, X., & Lu, Y. (2022). Research on Interest Rate Risk Management Based on Duration, Convexity and Immunization. BCP Business & Management, 26, 356-364. https://doi.org/10.54691/bcpbm.v26i.1974

[168] Louhichi, A., & Boujelbene, Y. (2016). Credit risk, managerial behaviour and macroeconomic equilibrium within dual banking systems: Interest-free vs. interest-based banking industries. Research in International Business and Finance, 38, 104-121. https://doi.org/10.1016/j.ribaf.2016.03.014

[169] Madeira, C. (2019). The impact of interest rate ceilings on households’ credit access: Evidence from a 2013 Chilean legislation. Journal of Banking & Finance, 106, 166-179. https://doi.org/10.1016/j.jbankfin.2019.06.011

[170] Maloney, K. J., & Yawitz, J. B. (1986). Interest rate risk, immunization, and duration. The Journal of Portfolio Management, 12(3), 41-48. https://doi.org/10.3905/jpm.1986.409062

[171] Mashamba, T. (2014). Determinates of Commercial Banks Liquidity: Internal Factor Analysis. Journal of Corporate Governance, Insurance, and Risk Management, 1(2), 112-131. https://doi.org/10.56578/jcgirm010207

[172] Matic, V. (2017). Banking risk 55: IRRBB: Interest rate risk in the banking book. Bankarstvo, 46(3), 142. https://doi.org/10.5937/bankarstvo1703142m

[173] Ma, Y., & Li, Z. (2020). Funding Liquidity and Bank Risk-Taking: Empirical Evidence from China. China Finance and Economic Review, 9(1), 64. https://doi.org/10.1515/cfer-2020-090105

[174] Mbonu, I. S., Aliliele, C., Iwuanyanwu, U., & Oluoha, O. M. (2018). A conceptual framework for legal and ethical risk modeling in enterprise data protection governance systems. Iconic Research and Engineering Journals, 2(2), 207-226. https://doi.org/10.64388/IREV2I2-1714911

[175] Mbonu, I. S., Aliliele, C., Iwuanyanwu, U., & Uzoka, E. (2021a). A conceptual framework for risk based business intelligence architecture in financial technology platforms. International Journal of Multidisciplinary Research and Growth Evaluation, 2(6), 731-746. https://doi.org/10.54660/.IJMRGE.2021.2.6.731-746

[176] Mbonu, I. S., Iwuanyanwu, U., Aliliele, C., & Uzoka, E. (2020a). A conceptual framework for agile supply chain digital transformation with embedded IT risk and ISO compliance controls. Iconic Research and Engineering Journals, 3(11), 566-593. https://doi.org/10.64388/IREV3I11-1714916

[177] McCulloch, J. (1985). Interest-risk sensitive deposit insurance premia. Journal of Banking & Finance, 9(1), 137-156. https://doi.org/10.1016/0378-4266(85)90066-4

[178] Memmel, C. (2011). Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure. Journal of Banking & Finance, 35(2), 282. https://doi.org/10.1016/j.jbankfin.2010.08.003

[179] Moerman, G. A., & van Dijk, M. A. (2010). Inflation risk and international asset returns. Journal of Banking & Finance, 34(4), 840-855. https://doi.org/10.1016/j.jbankfin.2009.09.014

[180] Moloi, T. (2018). Analysing the human capital capabilities in the enterprise risk management function of South Africa’s public institutions. Business and Economic Horizons, 14(2), 375. https://doi.org/10.15208/beh.2018.27

[181] Moraleda, J. M., & Vorst, T. C. (1997). Pricing American interest rate claims with humped volatility models. Journal of Banking & Finance, 21(8), 1131-1157. https://doi.org/10.1016/s0378-4266(97)00019-8

[182] Nawalkha, S. K. (1995). The duration vector: A continuous-time extension to default-free interest rate contingent claims. Journal of Banking & Finance, 19(8), 1359-1378. https://doi.org/10.1016/0378-4266(94)00125-m

[183] Nawalkha, S. K. (1996). A contingent claims analysis of the interest rate risk characteristics of corporate liabilities. Journal of Banking & Finance, 20(2), 227-245. https://doi.org/10.1016/0378-4266(94)00102-2

[184] Nawalkha, S. K., Soto, G. M., & Zhang, J. (2003). Generalized M-vector models for hedging interest rate risk. Journal of Banking & Finance, 27(8), 1581. https://doi.org/10.1016/s0378-4266(03)00089-x

[185] Nikomaram, H., Taghavi, M., & Khalili Diman, S. (2013). The relationship between liquidity risk and credit risk in Islamic banking industry of Iran. Management Science Letters, 3(4), 1223-1232. https://doi.org/10.5267/j.msl.2013.02.025

[186] Nwangwu, C. V., Duvbiama-Owasanoye, O. A., & Akano, O. A. (2021). Aligning capital budgeting with field development execution in the upstream petroleum sector. Gyanshauryam, International Scientific Refereed Research Journal, 4(4), 259–282.

[187] Nwangwu, C. V., Duvbiama-Owasanoye, O. A., & Akano, O. A. (2022). Resource discovery in mature asset portfolios: A review of longitudinal data trends for subsurface value extraction. Gyanshauryam, International Scientific Refereed Research Journal, 5(3), 503–524.

[188] Oberoi, J. (2018). Interest rate risk management and the mix of fixed and floating rate debt. Journal of Banking & Finance, 86, 70-86. https://doi.org/10.1016/j.jbankfin.2017.09.001

[189] Obogo, S. F., Arumosoye, O. M., & Obriki, O. D. (2020b). Conceptual risk management model for heavy lifting and crane installation engineering operations. Shodhshauryam, International Scientific Refereed Research Journal, 3(4), 122-144. https://doi.org/10.32628/SHISRRJ214441

[190] Obogo, S. F., Ozobu, C. O., & Uduokhai, D. O. (2019b). Development of a construction safety risk governance model for multi contractor high rise projects. Iconic Research and Engineering Journals, 2(9), 502-522. https://doi.org/10.64388/IREV2I9-1715495

[191] Obogo, S. F., Uduokhai, D. O., & Ozobu, C. O. (2019). Systematic review of hazard identification and risk control practices in urban construction projects. Iconic Research and Engineering Journals, 2(12), 666-681. https://doi.org/10.64388/IREV2I12-1715496

[192] Obriki, O. D., & Arumosoye, O. M. (2018). Conceptual modeling of data-driven occupational safety risk control in large-scale energy infrastructure projects. Iconic Research and Engineering Journals, 1(7), 169-189. https://doi.org/10.64388/IREV1I7-1714414

[193] Obriki, O. D., & Arumosoye, O. M. (2020). Conceptual framework for human error causation in high-risk construction and industrial activities. International Journal of Multidisciplinary Research and Growth Evaluation, 1(5), 715-727. https://doi.org/10.54660/.IJMRGE.2020.1.5.715-727

[194] Obriki, O. D., Obogo, S. F., & Arumosoye, O. M. (2022a). Advances in workforce safety training models for operational risk reduction. Gyanshauryam, International Scientific Refereed Research Journal, 5(6), 349-382. https://doi.org/10.32628/GISRRJ225638

[195] Obriki, O. D., Obogo, S. F., & Arumosoye, O. M. (2023). Review of behavioral safety programs for risk reduction in large workforces. International Journal of Advanced Multidisciplinary Research and Studies, 3(6), 2760-2775. https://doi.org/10.62225/2583049X.2023.3.6.6076

[196] Oduleye, T. E., & Medon, J. J. (2023a). A predictive model for optimizing cash flow and working capital management in corporations. Gyanshauryam, International Scientific Refereed Research Journal, 6(5), 739-754. https://doi.org/10.32628/GISRRJ236537

[197] Oduleye, T. E., & Medon, J. J. (2023). A predictive model for optimizing cash flow and working capital management in corporations. Gyanshauryam, International Scientific Refereed Research Journal, 6(5), 739–754. https://doi.org/10.32628/GISRRJ236537

[198] Oertmann, P., Rendu, C., & Zimmermann, H. (2000). Interest Rate Risk of European Financial Corporations. European Financial Management, 6(4), 459-478. https://doi.org/10.1111/1468-036x.00135

[199] Ogundairo, K. M., & Ayivi-Donkor, S. S. (2023b). Telemetry-driven value realization: Infusing economic evaluation algorithms directly into enterprise data pipelines. International Journal of Economics and Financial Management, 8(8), 195-232. https://doi.org/10.56201/ijefm.v8.no8.2023.pg195.232

[200] Okafor, C. M., Osuji, V. C., & Dako, O. F. (2021). Fintech-enabled transformation of transaction banking and digital lending as a catalyst for SME growth and financial inclusion. Int J Multidiscip Res Growth Eval, 2(6), 485-504.

[201] Okojie, J., Ike, P., Idu, J., Nnabueze, S. B., Filani, O., & Ihwughwavwe, S. (2023b). Predictive analytics models for monitoring smart city emissions and infrastructure risk in urban ESG planning. International Journal of Multidisciplinary Futuristic Development, 4(1), 45–57. https://doi.org/10.54660/IJMFD.2023.4.1.45-57

[202] Okojie, J., Ike, P., Idu, J., Nnabueze, S. B., Filani, O., & Ihwughwavwe, S. (2023). Predictive analytics models for monitoring smart city emissions and infrastructure risk in urban ESG planning. International Journal of Multidisciplinary Futuristic Development, 4(1), 45-57. https://doi.org/10.54660/IJMFD.2023.4.1.45-57

[203] Okojie, J. S., & Abioye, R. F. (2020). Reconciling chemical safety with circular-economy targets: A decision framework for post-consumer recycled polymers in consumer-goods packaging balancing REACH compliance, lifecycle GHG footprint, and regulatory risk. International Journal of Multidisciplinary Research and Growth Evaluation, 1(5), 992–1006.

[204] Okonkwo, C. S., Mayo, W., & Okeke, O. T. (2023). Conceptual model for asset lifecycle management and inventory visibility. International Journal of Scientific Research in Computer Science, Engineering and Information Technology, 10(1), 809–824. https://doi.org/10.32628/CSEIT2391568

[205] Okonkwo, C. S., Ogunwole, O., Mayo, W., & Okeke, O. T. (2021). Framework for regulatorycompliant procurement in high-risk energy environments. International Journal of Multidisciplinary Research and Growth Evaluation, 2(6), 595-605. https://doi.org/10.54660/IJMRGE.2021.2.6.595-605

[206] Okwah, M. N. (2022). Integrating triglyceride-glucose index and echocardiographic parameters for improved cardiovascular risk stratification in Sub-Saharan Africa. International Journal of Cardiology, 1(2), 1-16. https://doi.org/10.34218/IJC_01_02_001

[207] Ominyi, M. (2020). Developing a conceptual framework for post-merger compliance integration in multi-jurisdictional banking transaction. IIARD International Journal of Banking and Finance Research, 6(3), 78–95. https://doi.org/10.56201/ijbfr.vol.6.no3.2020.pg78.95

[208] Ominyi, M., & Anichukwueze, C. C. (2021). A systematic review of anti-money laundering and anti-bribery compliance regimes across emerging and developed markets. International Journal of Economics and Financial Management, 6(2), 89–118. https://doi.org/10.56201/ijefm.v6.no2.2021.pg89.118

[209] Ominyi, M., & Anichukwueze, C. C. (2022a). A conceptual framework for harmonizing data protection compliance across GDPR, NDPR, and United States privacy regimes. International Journal of Social Sciences and Management Research, 8(5), 148–174. https://doi.org/10.56201/ijssmr.v8.no5.2022.pg148.174

[210] Ominyi, M., & Anichukwueze, C. C. (2022b). Reviewing greenhouse gas disclosure and ESG compliance obligations for energy and infrastructure enterprises under evolving regulatory regimes. International Journal of Economics and Financial Management, 7(6), 94–124. https://doi.org/10.56201/ijefm.v7.no6.2022.pg94.124

[211] Ominyi, M., & Anichukwueze, C. C. (2023). A review of algorithmic accountability and model risk management approaches in financial services. Journal of Accounting and Financial Management, 9(12), 218–238. https://doi.org/10.56201/jafm.v9.no12.2023.pg218.238

[212] Oshoba, T. O., Hammed, N. I., & Odejobi, O. D. (2020). Blockchain-enabled compliance and audit trail model for cloud configuration management. Journal of Frontiers in Multidisciplinary Research, 1(1), 193-201.

[213] Ozdemir, B., & Sudarsana, G. (2016). Managing interest rate risk in the banking book using an optimisation framework. Journal of Risk Management in Financial Institutions, 9(4), 373. https://doi.org/10.69554/urbn4951

[214] PANDEY, A. K. (2022). Asset Liability Management in Banking Industry: A Comparative Study of Public and Private Sector Banks. INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT, 06(05). https://doi.org/10.55041/ijsrem13304

[215] Pan, J., & Xiao, Q. (2017). Optimal asset–liability management with liquidity constraints and stochastic interest rates in the expected utility framework. Journal of Computational and Applied Mathematics, 317, 371. https://doi.org/10.1016/j.cam.2016.11.037

[216] Pellegrino, R., Carbonara, N., & Costantino, N. (2018). Public guarantees for mitigating interest rate risk in PPP projects. Built Environment Project and Asset Management, 9(2), 248. https://doi.org/10.1108/bepam-01-2018-0012

[217] Platte, D. (2022). Banks’ Management of Interest Rate Risk: Empirical Evidence from Savings Banks and Credit Cooperatives. Zeitschrift für Bankrecht und Bankwirtschaft, 34(4), 228-239. https://doi.org/10.15375/zbb-2022-0405

[218] Posch, P. N., Luebbers, J., & Erhardt, J. (2014). Bail-In and Asset Encumbrance: Implications for Bankss Asset Liability Management. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2545196

[219] Post, T., & van Vliet, P. (2006). Downside risk and asset pricing. Journal of Banking & Finance, 30(3), 823-849. https://doi.org/10.1016/j.jbankfin.2005.06.005

[220] Prabhavathi, C. P. C. (2011). Impact of Interest Rate Risk In Banking System. Indian Journal of Applied Research, 3(6), 314. https://doi.org/10.15373/2249555x/june2013/105

[221] Rendleman, R. (1999). First Derivatives National Bank: a case problem in the management of interest rate risk. The Journal of Risk, 1(3), 63-85. https://doi.org/10.21314/jor.1999.012

[222] Robinson, R. (1988). Duration analysis: Managing interest rate risk. Journal of Banking & Finance, 12(1), 161. https://doi.org/10.1016/0378-4266(88)90057-x

[223] Rokhmawati, A. (2019). Interest rate risk of banking sector: The effect of maturity gap on net interest income in Indonesia. Pressacademia, 6(1), 19. https://doi.org/10.17261/pressacademia.2019.1025

[224] Rutkauskas, A. V., & Stankeviciene, J. (2006). INTEGRATED ASSET AND LIABILITY PORTFOLIO AS INSTRUMENT OF LIQUIDITY MANAGEMENT IN THE COMMERCIAL BANK. Journal of Business Economics and Management, 7(2), 45-57. https://doi.org/10.3846/16111699.2006.9636123

[225] Ruziqa, A. (2013). The impact of credit and liquidity risk on bank financial performance: the case of Indonesian Conventional Bank with total asset above 10 trillion Rupiah. International Journal of Economic Policy in Emerging Economies, 6(2), 93. https://doi.org/10.1504/ijepee.2013.055791

[226] Saleh, I., & Afifa, M. A. (2020). The effect of credit risk, liquidity risk and bank capital on bank profitability: Evidence from an emerging market. Cogent Economics & Finance, 8(1), 1814509. https://doi.org/10.1080/23322039.2020.1814509

[227] Sarker, N., & Bhowmik, P. K. (2021). Bank Liquidity Risk: Significance of Financial Disclosure and Governance Practice. Asian Economic and Financial Review, 11(9), 724. https://doi.org/10.18488/journal.aefr.2021.119.724.744

[228] Saunders, A., & Yourougou, P. (1990). Are banks special? The separation of banking from commerce and interest rate risk. Journal of Economics and Business, 42(2), 171-182. https://doi.org/10.1016/0148-6195(90)90033-9

[229] Scannella, E. (2016). Theory and regulation of liquidity risk management in banking. International Journal of Risk Assessment and Management, 19(1/2), 4. https://doi.org/10.1504/ijram.2016.074433

[230] Schmitt, E. (2018). Stress Testing of Liquidity Maturity Transformation Risk in Banks. Management Studies, 6(4). https://doi.org/10.17265/2328-2185/2018.04.001

[231] Shanker, L. (1996). Derivatives usage and interest rate risk of large banking firms. Journal of Futures Markets, 16(4), 459. https://doi.org/10.1002/(sici)1096-9934(199606)16:4<459::aid-fut6>3.0.co;2-h

[232] Shrestha, S. (2016). Asset Liability Management and Commercial Banks’ Profitability in Nepal. Academic Voices: A Multidisciplinary Journal, 5, 40-47. https://doi.org/10.3126/av.v5i0.15851

[233] Song, F., & Thakor, A. V. (2007). Relationship Banking, Fragility, and the Asset-Liability Matching Problem. Review of Financial Studies, 20(6), 2129-2177. https://doi.org/10.1093/rfs/hhm015

[234] Sun, J., & Rooyen, J. V. (2011). A modelling process of short-term interest rate risk management for the South African commercial banking sector. Corporate Ownership and Control, 9(1), 628. https://doi.org/10.22495/cocv9i1c6art6

[235] Swanson, E. T. (2006). Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts?. Journal of Money, Credit, and Banking, 38(3), 791-819. https://doi.org/10.1353/mcb.2006.0046

[236] Tai, C. (2000). Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns. Journal of Multinational Financial Management, 10(3-4), 397-420. https://doi.org/10.1016/s1042-444x(00)00031-1

[237] Tanwar, J., Vaish, A. K., & Rao, N. V. M. (2020). MATHEMATICAL MODELING OF ASSET LIABILITY MANAGEMENT IN BANKS USING GOAL PROGRAMMING AND AHP. Indian Journal of Finance and Banking, 4(4), 1. https://doi.org/10.46281/ijfb.v4i4.899

[238] Tee, E. (2017). Asset Liability Management and the Profitability of Listed Banks in Ghana. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2987875

[239] Thakor, A., Hong, H., & Greenbaum, S. I. (1981). Bank loan commitments and interest rate volatility. Journal of Banking & Finance, 5(4), 497-510. https://doi.org/10.1016/s0378-4266(81)80004-0

[240] Tian, S., & Hamori, S. (2015). Modeling interest rate volatility: A Realized GARCH approach. Journal of Banking & Finance, 61, 158-171. https://doi.org/10.1016/j.jbankfin.2015.09.008

[241] Tonoyan, A., Dada, O., & Ayivi-Donkor, S. S. (2023). A conceptual framework for retail asset valuation: Integrating quantitative pricing and multi-unit financial performance prediction. Journal of Accounting and Financial Management, 9(12), 218-250. https://doi.org/10.56201/jafm.v9.no12.2023.pg218.250

[242] Vuillemey, G. (2019). Bank Interest Rate Risk Management. Management Science, 65(12), 5933. https://doi.org/10.1287/mnsc.2018.3125

[243] Wall, L. D. (1989). Interest rate swaps in an agency theoretic model with uncertain interest rates. Journal of Banking & Finance, 13(2), 261-270. https://doi.org/10.1016/0378-4266(89)90064-2

[244] Walsh, C. E. (1984). Interest Rate Volatility and Monetary Policy. Journal of Money, Credit and Banking, 16(2), 133. https://doi.org/10.2307/1992540

[245] Wambold, M., & Wieandt, A. (2021). Interest rate risk in the banking book – is the SSM’s regulatory approach tight enough?. Zeitschrift für Bankrecht und Bankwirtschaft, 33(1), 57. https://doi.org/10.15375/zbb-2021-0107

[246] WANG, Z., WEI, F., & FANG, Y. (2019). PASS-THROUGH RATE STUDY FOR HONG KONG BANKING INDUSTRY AND ITS APPLICATION TO NONMATURITY DEPOSITS INTEREST RATE RISK MANAGEMENT. Annals of Financial Economics, 14(02), 1950009. https://doi.org/10.1142/s201049521950009x

[247] Williams, B. (2016). The impact of non-interest income on bank risk in Australia. Journal of Banking & Finance, 73, 16-37. https://doi.org/10.1016/j.jbankfin.2016.07.019

[248] Wong, K. P. (1997). On the determinants of bank interest margins under credit and interest rate risks. Journal of Banking & Finance, 21(2), 251. https://doi.org/10.1016/s0378-4266(96)00037-4

[249] WU, S. (2007). Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets. Journal of Money, Credit and Banking, 39(2-3), 423-442. https://doi.org/10.1111/j.0022-2879.2007.00031.x

[250] Zeldea, C. (2020). Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions. Administrative Sciences, 10(3), 52. https://doi.org/10.3390/admsci10030052

@article{1723268,
      author = {Kofi Okyere Mensah, Ann Kinyanjui, Ifeoma Okoli, Priscilla Agboada, Omotayo Pedro},
      title = {Advances in Asset Liability Management and Interest Rate Risk Modeling in Retail and Investment Banking},
      journal = {Iconic Research And Engineering Journals},
      year = {2023},
      volume = {6},
      number = {9},
      pages = {583-618},
      issn = {2456-8880},
      url = {https://www.irejournals.com/formatedpaper/1723268.pdf},
      abstract = {This critical review examines how retail and investment banks measure, model, and govern interest-rate risk within an integrated asset-liability management (ALM) framework. Drawing on a systematically screened corpus of 250 peer-reviewed, DOI-verified journal articles published through 2023, the review synthesises theory, measurement practice, regulatory constraint, and reported performance effects across five themes: the historical evolution of ALM in retail and investment banking, the progression of interest-rate risk modelling from gap and duration analysis to stochastic, dynamic-programming, and machine-learning methods, the reshaping of ALM practice by Basel III capital and liquidity standards, the influence of macroeconomic volatility and geopolitical shocks on model performance, and the integration of ALM with enterprise-wide risk systems. Rather than treating these as separate literatures, the review compares methods, contexts, and findings across studies to identify where evidence converges, where it conflicts, and where it remains thin, most notably in the direct application of machine learning to interest-rate risk in the banking book. The paper contributes an integrative framework linking measurement choice, duration and gap analysis, option-adjusted and stochastic term-structure models, and behavioural assumptions for non-maturity deposits, to governance design, scenario construction, and earnings and economic-value outcomes, and it develops a targeted research agenda for strengthening validation, transparency, and cross-institutional comparison in this area of banking risk management.},
      keywords = {Asset Liability Management, Interest Rate Risk, Retail Banking, Investment Banking, Risk Modeling, Stochastic Modeling},
      month = {March},
      doi = {https://doi.org/10.64388/IREV6I9-1723268}
  }