Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany

Marco Wilkens, Christoph Memmel, Oliver Entrop and Alexander Zeisler

No 2008,01, Discussion Paper Series 2: Banking and Financial Studies from Deutsche Bundesbank

Abstract: This 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.

Keywords: German financial institutions; interest rate risk; accounting-based approach; maturity transformation; banking supervision; model evaluation (search for similar items in EconPapers)
JEL-codes: G18 G21 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-acc, nep-ban, nep-cfn, nep-mon and nep-ore
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp2:7118

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