Risk Modeling: Asset Liability Management

Johannes Wernz

Chapter Chapter 9 in Bank Management and Control, 2020, pp 105-107 from Springer

Abstract: Abstract Often the yield curve is such that long-term interest rates are higher than short-term interest rates. Before the financial crises, there were some nice gains as a result of this difference in interest rates. Nevertheless, when the financial crisis hit in 2007, the yield curve twisted, and the asset mismatch led to big losses. Some banks like Dexia (Belgium) or Depfa (Ireland, later part of HRE, Germany) had refinancing schemes that were quite risky, because there was a big asset mismatch. Loans were provided long term whereas refinancing was done short term.

Date: 2020
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DOI: 10.1007/978-3-030-42866-2_9

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