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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >
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http://hdl.handle.net/10419/44597
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| Title: | | How correlated are changes in banks' net interest income and in their present value?  |
| Authors: | | Memmel, Christoph |
| Issue Date: | | 2010 |
| Series/Report no.: | | Discussion Paper Series 2: Banking and Financial Studies 2010,14 |
| Abstract: | | We use portfolios of passive investment strategies to replicate the interest risk of banks' banking books. The following empirical statements are derived: (i) Changes in banks' present value and in their net interest income are highly correlated, irrespective of the banks' portfolio composition. (ii) However, banks' portfolio composition has a huge impact on the ratio of changes in net interest income relative to changes in present value. |
| Subjects: | | Interest rate risk term transformation interest income change in present value |
| JEL: | | G11 G21 |
| ISBN: | | 978-3-86558-675-9 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
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