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http://hdl.handle.net/10419/19778
  

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dc.contributor.authorWilkens, Marcoen_US
dc.contributor.authorMemmel, Christophen_US
dc.contributor.authorEntrop, Oliveren_US
dc.contributor.authorZeisler, Alexanderen_US
dc.date.accessioned2009-01-28T16:05:41Z-
dc.date.available2009-01-28T16:05:41Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/19778-
dc.description.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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion Paper, Series 2: Banking and Financial Supervision 2008,01en_US
dc.subject.jelG18en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordGerman financial institutionsen_US
dc.subject.keywordinterest rate risken_US
dc.subject.keywordaccounting-based approachen_US
dc.subject.keywordmaturity transformationen_US
dc.subject.keywordbanking supervisionen_US
dc.subject.keywordmodel evaluationen_US
dc.subject.stwBankrisikoen_US
dc.subject.stwZinsrisikoen_US
dc.subject.stwBilanzanalyseen_US
dc.subject.stwBankensystemen_US
dc.subject.stwDeutschlanden_US
dc.titleAnalyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germanyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn559688679en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp2:7118-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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