The interest rate risk of banks

The interest rate risk of banks

current topics

Max Teichert


272 Seiten

ISBN-13: 9783958260702

Verlag: Würzburg University Press

Erscheinungsdatum: 28.02.2018

Sprache: Englisch

Farbe: Ja

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This book produces three main results. First, the interest rate risk from on-balance sheet term transformation of banks in Germany exceeds the euro area average and is bound to increase even further. Within Germany, savings banks and cooperative banks are particularly engaged. Second, supervisory interest rate shock scenarios are found to be increasingly detached both from the historic and the forecasted development of interest rates in Germany. This increasingly limits the informative content of mere exposure measures such as the Basel interest rate coefficient when used as risk measures. Third, there is a reasonable theoretical rationale and there is strong empirical evidence for banks' search for yield in interest rate risk, i.e. a negative link between the term spread and the taking of interest rate risk by banks. There is even a threshold of income below which banks' search for yield in interest rate risk surfaces openly.
Max Teichert

Max Teichert

geb. 1987, M.Sc. (Economics), Mag. Phil. (Philosophie)

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