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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Memmel, Christoph | | en_US |
| dc.date.accessioned | | 2011-02-04 | | en_US |
| dc.date.accessioned | | 2011-04-06T10:53:10Z | | - |
| dc.date.available | | 2011-04-06T10:53:10Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.isbn | | 978-3-86558-675-9 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/44597 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Deutsche Bundesbank Frankfurt am Main | | en_US |
| dc.relation.ispartofseries | | Discussion Paper Series 2: Banking and Financial Studies 2010,14 | | en_US |
| dc.subject.jel | | G11 | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Interest rate risk | | en_US |
| dc.subject.keyword | | term transformation | | en_US |
| dc.subject.keyword | | interest income | | en_US |
| dc.subject.keyword | | change in present value | | en_US |
| dc.title | | How correlated are changes in banks' net interest income and in their present value? | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 645296961 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:bubdp2:201014 | | - |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
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