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Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure

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Author Info
Marc-Gregor Czaja ()
Hendrik Scholz ()
Marco Wilkens ()
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File URL: http://hdl.handle.net/10.1007/s11156-008-0104-9
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Publisher Info
Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 33 (2009)
Issue (Month): 1 (July)
Pages: 1-26
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Handle: RePEc:kap:rqfnac:v:33:y:2009:i:1:p:1-26

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Web page: http://springerlink.metapress.com/link.asp?id=102990

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Related research
Keywords: German financial institutions; Interest rate sensitivity; Term structure; Nelson–Siegel approach; G12; G21; G22;

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  1. Peter Oertmann* & Christel Rendu & Heinz Zimmermann, 2000. "Interest Rate Risk of European Financial Corporations," European Financial Management, Blackwell Publishing Ltd, vol. 6(4), pages 459-478. [Downloadable!] (restricted)
  2. Elijah Brewer & James M. Carson & Elyas Elyasiani & Iqbal Mansur & William L. Scott, 2007. "Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH-M Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(2), pages 401-423. [Downloadable!] (restricted)
  3. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February. [Downloadable!] (restricted)
    Other versions:
  4. Schmidt, Reinhard H. & Hackethal, Andreas & Tyrell, Marcel, 1999. "Disintermediation and the Role of Banks in Europe: An International Comparison," Journal of Financial Intermediation, Elsevier, vol. 8(1-2), pages 36-67, January. [Downloadable!] (restricted)
    Other versions:
  5. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July. [Downloadable!] (restricted)
  6. French, Kenneth R & Ruback, Richard S & Schwert, G William, 1983. "Effects of Nominal Contracting on Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 91(1), pages 70-96, February. [Downloadable!] (restricted)
  7. Ferson, Wayne E. & Harvey, Campbell R., 1994. "Sources of risk and expected returns in global equity markets," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 775-803, September. [Downloadable!] (restricted)
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  8. Donald R. Fraser, 2002. "Sources of Bank Interest Rate Risk," The Financial Review, Eastern Finance Association, vol. 37(3), pages 351-367, 08. [Downloadable!] (restricted)
  9. Madura, Jeff & Zarruk, Emilio R, 1995. "Bank Exposure to Interest Rate Risk: A Global Perspective," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 18(1), pages 1-13, Spring.
  10. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
  11. Sweeney, Richard J & Warga, Arthur D, 1986. " The Pricing of Interest-Rate Risk: Evidence from the Stock Market," Journal of Finance, American Finance Association, vol. 41(2), pages 393-410, June. [Downloadable!] (restricted)
  12. Allen, Franklin & Santomero, Anthony M., 2001. "What do financial intermediaries do?," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 271-294, February. [Downloadable!] (restricted)
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  13. Bhattacharya Sudipto & Thakor Anjan V., 1993. "Contemporary Banking Theory," Journal of Financial Intermediation, Elsevier, vol. 3(1), pages 2-50, October. [Downloadable!] (restricted)
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