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Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >

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dc.contributor.authorMemmel, Christophen_US
dc.description.abstractWe 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.en_US
dc.publisherDeutsche Bundesbank Frankfurt a. M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 2: Banking and Financial Studies 2010,14en_US
dc.subject.keywordInterest rate risken_US
dc.subject.keywordterm transformationen_US
dc.subject.keywordinterest incomeen_US
dc.subject.keywordchange in present valueen_US
dc.titleHow correlated are changes in banks' net interest income and in their present value?en_US
dc.typeWorking Paperen_US
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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