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

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Author Info

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

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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Bibliographic 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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Keywords: German financial institutions; interest rate risk; accounting-based approach; maturity transformation; banking supervision; model evaluation;

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Cited by:
  1. Memmel, Christoph, 2010. "Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure," Discussion Paper Series 2: Banking and Financial Studies 2010,07, Deutsche Bundesbank, Research Centre.
  2. Lucia Esposito & Andrea Nobili & Tiziano Ropele, 2013. "The management of interest rate risk during the crisis: evidence from Italian banks," Temi di discussione (Economic working papers) 933, Bank of Italy, Economic Research and International Relations Area.
  3. 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.
  4. Memmel, Christoph & Schertler, Andrea, 2009. "The dependency of the banks' assets and liabilities: evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2009,14, Deutsche Bundesbank, Research Centre.

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