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Title:Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany PDF Logo
Authors:Wilkens, Marco
Memmel, Christoph
Entrop, Oliver
Zeisler, Alexander
Issue Date:2008
Series/Report no.:Discussion Paper, Series 2: Banking and Financial Supervision 2008,01
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
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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