Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany

48 Pages Posted: 8 Jun 2016

See all articles by Oliver Entrop

Oliver Entrop

University of Passau

Christoph Memmel

Deutsche Bundesbank

Marco Wilkens

University of Augsburg

Alexander Zeisler

Barclays

Date Written: 2008

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

JEL Classification: G18, G21

Suggested Citation

Entrop, Oliver and Memmel, Christoph and Wilkens, Marco and Zeisler, Alexander, Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany (2008). Bundesbank Series 2 Discussion Paper No. 2008,01. Available at SSRN: https://ssrn.com/abstract=2794005

Oliver Entrop

University of Passau ( email )

Innstrasse 27
Passau, 94032
Germany
+49 851 509 2460 (Phone)
+49 851 509 2462 (Fax)

Christoph Memmel

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Marco Wilkens (Contact Author)

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4124 (Phone)
+49 821 598 4223 (Fax)

HOME PAGE: http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

Alexander Zeisler

Barclays ( email )

5 The North Colonnade
Canary Wharf
London, London E14 4BB
United Kingdom
+44 20 7773 8989 (Phone)

HOME PAGE: http://www.barclays.com

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