EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/44597
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorMemmel, Christophen_US
dc.date.accessioned2011-02-04en_US
dc.date.accessioned2011-04-06T10:53:10Z-
dc.date.available2011-04-06T10:53:10Z-
dc.date.issued2010en_US
dc.identifier.isbn978-3-86558-675-9en_US
dc.identifier.urihttp://hdl.handle.net/10419/44597-
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.language.isoengen_US
dc.publisherDeutsche Bundesbank Frankfurt am Mainen_US
dc.relation.ispartofseriesDiscussion Paper Series 2: Banking and Financial Studies 2010,14en_US
dc.subject.jelG11en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_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
dc.identifier.ppn645296961en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp2:201014-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

Files in This Item:
File Description SizeFormat
645296961.pdf221.86 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

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