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dc.contributor.authorWilkens, Marcoen
dc.contributor.authorMemmel, Christophen
dc.contributor.authorEntrop, Oliveren
dc.contributor.authorZeisler, Alexanderen
dc.date.accessioned2009-01-28T16:05:41Z-
dc.date.available2009-01-28T16:05:41Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/19778-
dc.description.abstractThis paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We develop a new method that is based on time series of accountingbased data to quantify the interest risk of banks and apply it to analyze the German banking system. We find evidence that our model yields a significantly better fit of banks' internally quantified interest rate risk than a standard approach that relies on one-point-in-time data, and that the interest rate risk differs between banks of different size and banking group. Additionally, we find structural differences between trading book and non-trading book institutions.en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2008,01en
dc.subject.jelG18en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordGerman financial institutionsen
dc.subject.keywordinterest rate risken
dc.subject.keywordaccounting-based approachen
dc.subject.keywordmaturity transformationen
dc.subject.keywordbanking supervisionen
dc.subject.keywordmodel evaluationen
dc.subject.stwBankrisikoen
dc.subject.stwZinsrisikoen
dc.subject.stwBilanzanalyseen
dc.subject.stwBankensystemen
dc.subject.stwDeutschlanden
dc.titleAnalyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany-
dc.typeWorking Paperen
dc.identifier.ppn559688679en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:7118en

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