Replication Package for Measuring Interest Rate Risk Management

The replication package for the paper "Measuring Interest Rate Risk Management by Financial Institutions" by C. Brunetti, N. Foley-Fisher, and S. Verani. It contains the code to reproduce the figures and tables from the main text. The package is hosted on the Review of Asset Pricing Studies Dataverse and was last updated on June 10, 2026.

Use Cases

• Reproduce econometric analyses based on the described financial data.
• Validate the statistical methods used in the original research paper.
• Extend the study's framework to new financial datasets.
• Teach empirical finance methods using a published replication example.

Strengths

• Directly supports a peer-reviewed academic paper published in the Review of Asset Pricing Studies.
• Provides full replication code for published results, enhancing research transparency.
• Last updated on June 10, 2026, suggesting recent maintenance.

Limitations

• Description metadata is limited; actual data quality requires manual inspection after download.
• Column-level documentation is absent; field semantics must be inferred after download.
• Row count and dataset scale are unknown, which may limit suitability assessment.

Provenance

Source

Review of Asset Pricing Studies Dataverse

Collection Method

Code and data compiled for academic replication.

Freshness

Last updated 2026-06-10 13:25:50.