Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/44597
Authors: 
Memmel, Christoph
Year of Publication: 
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

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