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Maturity Transformation Strategies And Interest Rate Risk Of Financial Institutions: Evidence From The German Market

In: Banking And Capital Markets New International Perspectives

Author

Listed:
  • Hendrik Scholz

    (Catholic University of Eichstätt-Ingolstadt, Germany)

  • Stephan Simon

    (University of Erlangen-Nürnberg, Germany)

  • Marco Wilkens

    (Catholic University of Eichstätt-Ingolstadt, Germany)

Abstract

The following sections are included:IntroductionInterest Rate Sensitivities and Empirical TestsPrincipal Regression ApproachDerivation of the Maturity Transformation FactorsEmpirical AnalysisDataComparison of Interest Rate FactorCapital Markets Based Maturity Estimates for Financial InstitutionsConclusionEndnotesReferences

Suggested Citation

  • Hendrik Scholz & Stephan Simon & Marco Wilkens, 2010. "Maturity Transformation Strategies And Interest Rate Risk Of Financial Institutions: Evidence From The German Market," World Scientific Book Chapters, in: Lloyd P Blenman & Harold A Black & Edward J Kane (ed.), Banking And Capital Markets New International Perspectives, chapter 6, pages 155-182, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814273619_0006
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