Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany

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Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany

Author Info

Wilkens, Marco
Memmel, Christoph
Entrop, Oliver
Zeisler, Alexander

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Christoph Memmel

Abstract

This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We develop a new method that is based on time series of accountingbased data to quantify the interest risk of banks and apply it to analyze the German banking system. We find evidence that our model yields a significantly better fit of banks' internally quantified interest rate risk than a standard approach that relies on one-point-in-time data, and that the interest rate risk differs between banks of different size and banking group. Additionally, we find structural differences between trading book and non-trading book institutions. --

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Publisher Info
Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 2: Banking and Financial Studies with number 2008,01.

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Date of creation: 2008
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Handle: RePEc:zbw:bubdp2:7118

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Find related papers by JEL classification:
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

This paper has been announced in the following NEP Reports:

NEP-ACC-2008-04-04 (Accounting & Auditing)
NEP-ALL-2008-04-04 (All new papers)
NEP-BAN-2008-04-04 (Banking)
NEP-CFN-2008-04-04 (Corporate Finance)
NEP-MON-2008-04-04 (Monetary Economics)
NEP-ORE-2008-04-04 (Operations Research)

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Memmel, Christoph, 2008. "Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks," Discussion Paper Series 2: Banking and Financial Studies 2008,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
Other versions:
- Christoph Memmel, 2008. "Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(1), pages 85-104, January. [Downloadable!] (restricted)

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This page was last updated on 2009-12-2.

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