Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany
AbstractThis 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 InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 2: Banking and Financial Studies with number 2008,01.
Date of creation: 2008
Date of revision:
German financial institutions; interest rate risk; accounting-based approach; maturity transformation; banking supervision; model evaluation;
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; Micro Finance 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, 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.
- Memmel, Christoph, 2011. "Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 282-289, February.
- 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,"
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Inderscience Enterprises Ltd, vol. 1(1), pages 85-104.
- 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.
- 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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