A New Methodology to Derive a Bank’s Maturity Structure Using Accounting-Based Time Series Information

Oliver Entrop (), Christoph Memmel, Marco Wilkens () and Alexander Zeisler ()
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Oliver Entrop: Catholic University of Eichstaett-Ingolstadt
Marco Wilkens: Catholic University of Eichstaett-Ingolstadt
Alexander Zeisler: Catholic University of Eichstaett-Ingolstadt

A chapter in Operations Research Proceedings 2006, 2007, pp 299-304 from Springer

Abstract: Abstract While over the past few years both banking supervisors and researchers have focussed their attention on banks’ credit risk, the spotlight is now being turned again on interest rate risk. One reason for this is its character as a kind of systemic risk: there is evidence that a rise in interest rates affects most banks negatively. An historical example of a banking crisis caused by high interest rates is the ‘Savings and Loan Crisis’ which occurred in the USA during the 1980s.3 Between 1980 and 1988, 563 of the approximately 4,000 savings and loan institutions failed, while further failures were prevented by 333 supervisory mergers. The total costs of the crisis are estimated at USD160 billion. Recently, the Basel Committee on Banking Supervision published principles for the management and supervision of interest rate risk that go far beyond current practice.4 However, few data are available concerning banks’ interest rate risk exposure.

Keywords: Maturity Structure; Interest Rate Risk; Basel Committee; Initial Maturity; German Bank (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/978-3-540-69995-8_49

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