Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/19778 
Year of Publication: 
2008
Series/Report no.: 
Discussion Paper Series 2 No. 2008,01
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
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.
Subjects: 
German financial institutions
interest rate risk
accounting-based approach
maturity transformation
banking supervision
model evaluation
JEL: 
G18
G21
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.