Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure

Marc-Gregor Czaja (), Hendrik Scholz () and Marco Wilkens ()

Review of Quantitative Finance and Accounting, 2009, vol. 33, issue 1, 26 pages

Keywords: German financial institutions; Interest rate sensitivity; Term structure; Nelson–Siegel approach; G12; G21; G22 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s11156-008-0104-9

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