Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/28622
Authors: 
Memmel, Christoph
Schertler, Andrea
Year of Publication: 
2009
Series/Report no.: 
Discussion Paper Series 2: Banking and financial studies 2009,14
Abstract: 
Developments in risk-transfer instruments and risk management techniques in the last two decades have fundamentally changed how banks manage their assets and liabilities. In this document we show that, for all three sectors of German universal banks (private commercial banks, savings banks, and cooperative banks), asset-liability dependency declined over the period 1994-2007, the decline was strongest for those banks that use more than sector-average amounts of derivatives. Only in the case of private commercial banks, we do find that lower regulatory capital has coincided with higher asset-liability dependencies. Over our sample period, the difference has diminished since poorly-capitalized private commercial banks have reduced their asset-liability dependencies more intensively than their well-capitalized counterparts. Moreover, we find that profitability matters for the asset-liability dependency but not in the same way for all three sectors. Asset-liability dependency is lower for private commercial banks with higher provision income, savings banks with lower ROE volatilities and cooperative banks with higher ROEs.
Subjects: 
Asset-liability dependency
maturity
correlation analysis
JEL: 
G21
G32
ISBN: 
978-3-86558-575-2
Document Type: 
Working Paper

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