Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/213862
Authors: 
Dräger, Vanessa
Heckmann-Draisbach, Lotta
Memmel, Christoph
Year of Publication: 
2020
Series/Report no.: 
Bundesbank Discussion Paper 02/2020
Abstract: 
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of banks' bond portfolios are much larger than the reductions in their net interest income, that banks attenuate the resulting write-downs by liquidating hidden reserves and that banks which use interest derivatives have lower impairments in their bond portfolios. In addition, we find that banks' exposures to interest rate risk and to credit risk are remunerated, that banks' try to stabilize the mid-term net interest margin with exposure to interest rate risk and that they act as if they have a risk budget which they allocate either to interest rate risk or credit risk.
Subjects: 
net interest margin
bond portfolio
interest rate risk
credit risk
JEL: 
G21
ISBN: 
978-3-95729-663-4
Document Type: 
Working Paper

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