The interest rate risk of banks (Paperback) (ISBN-13: 9783958260702)

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.

Author: Max Teichert
ISBN-10: 3958260705
ISBN-13: 9783958260702
Publisher: Wurzburg University Press
Language: English
Published: 02/28/2018
Pages: 274
Format: Paperback
Weight: 1.46lbs
Size: 11.69h x 8.27w x 0.58d