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dc.contributor.authorMemmel, Christophen
dc.date.accessioned2011-02-04-
dc.date.accessioned2011-04-06T10:53:10Z-
dc.date.available2011-04-06T10:53:10Z-
dc.date.issued2010-
dc.identifier.isbn978-3-86558-675-9en
dc.identifier.urihttp://hdl.handle.net/10419/44597-
dc.description.abstractWe 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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2010,14en
dc.subject.jelG11en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordInterest rate risken
dc.subject.keywordterm transformationen
dc.subject.keywordinterest incomeen
dc.subject.keywordchange in present valueen
dc.titleHow correlated are changes in banks' net interest income and in their present value?-
dc.typeWorking Paperen
dc.identifier.ppn645296961en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:201014en

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