Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany
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Cited by:
- 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.
- 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.
- 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.
- 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.
- Oliver Entrop & Marco Wilkens & Alexander Zeisler, 2009. "Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter," European Financial Management, European Financial Management Association, vol. 15(5), pages 1001-1018, November.
- Chaudron, Raymond F.D.D., 2018. "Bank's interest rate risk and profitability in a prolonged environment of low interest rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 94-104.
- Foos, Daniel & Lütkebohmert, Eva & Markovych, Mariia & Pliszka, Kamil, 2017. "Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve," Discussion Papers 24/2017, Deutsche Bundesbank.
- Cerrone, Rosaria & Cocozza, Rosa & Curcio, Domenico & Gianfrancesco, Igor, 2017. "Does prudential regulation contribute to effective measurement and management of interest rate risk? Evidence from Italian banks," Journal of Financial Stability, Elsevier, vol. 30(C), pages 126-138.
- Raymond Chaudron, 2016. "Bank profitability and risk taking in a prolonged environment of low interest rates: a study of interest rate risk in the banking book of Dutch banks," DNB Working Papers 526, Netherlands Central Bank, Research Department.
- Christoph Memmel & Andrea Schertler, 2012.
"The Dependency of the Banks' Assets and Liabilities: Evidence from Germany,"
European Financial Management, European Financial Management Association, vol. 18(4), pages 602-619, September.
- 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.
- Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
- Esposito, Lucia & Nobili, Andrea & Ropele, Tiziano, 2015.
"The management of interest rate risk during the crisis: Evidence from Italian banks,"
Journal of Banking & Finance, Elsevier, vol. 59(C), pages 486-504.
- 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.
- Christoph Memmel, 2014. "Banks' interest rate risk: the net interest income perspective versus the market value perspective," Quantitative Finance, Taylor & Francis Journals, vol. 14(6), pages 1059-1068, June.
More about this item
Keywords
German financial institutions; interest rate risk; accounting-based approach; maturity transformation; banking supervision; model evaluation;All these keywords.
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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ACC-2008-04-04 (Accounting and Auditing)
- 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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