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Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure

Memmel, Christoph - 2010

We use a unique dataset of German banks’ exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...

Persistent link: https://www.econbiz.de/10008657143

Banks' Exposure to Interest Rate Risk, Their Earnings from Term Transformation, and the Dynamics of the Term Structure

Memmel, Christoph - 2010

We use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...

Persistent link: https://www.econbiz.de/10013138424

Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure

Memmel, Christoph - In: Journal of banking & finance 35 (2011) 2, pp. 282-289

Persistent link: https://www.econbiz.de/10009244330

Memmel, Christoph - 2010

We use portfolios of passive investment strategies to replicate the interest risk of banks’ banking books. The following empirical statements are derived: (i) Changes in banks’ present value and in their net interest income are highly correlated, irrespective of the banks’ portfolio...

Persistent link: https://www.econbiz.de/10008822029

Interest and credit risk management in German banks : evidence from a quantitative survey

Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...

Persistent link: https://www.econbiz.de/10012160610

Determinants of bank interest margins : impact of maturity transformation

Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - 2012

and returns from maturity transformation. Banks price interest risk according to their individual exposure separately in … loan and deposit rates, but reduce these charges when they expect returns from maturity transformation. Second, using a … for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for …

Persistent link: https://www.econbiz.de/10009572494

Banks' interest rate risk and search for yield : a theoretical rationale and some empirical evidence

Memmel, Christoph; Seymen, Atılım; Teichert, Max - 2016

We investigate German banks' exposure to interest rate risk. In finance, higher demand for a risky asset is typically associated with higher expected return. However, employing a utility function which implies both risk-averse and risk-seeking behavior depending on the level of profits, we show...

Persistent link: https://www.econbiz.de/10011495547

Performance of maturity transformation strategies

Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020

long-term assets are financed by short-term liabilities. Risk and return increase significantly with maturity gaps for both …-term gaps.With respect to different financial reporting standards,weaddress maturity transformation results froman earnings …

Persistent link: https://www.econbiz.de/10012313784

An empirical analysis of factors affecting bank interest margins : evidence from the South East European countries

Ganić, Mehmed - In: Comparative economic research : Central and Eastern Europe 21 (2018) 2, pp. 81-98

Margins) and a set of selected banks' specific variables in SEE by employing panel data estimation methodology. This research …

Persistent link: https://www.econbiz.de/10011877311

Banks' exposure to interest rate risk and the transmission of monetary policy

Gomez, Matthieu; Landier, Augustin; Sraer, David; … - 2016

We show that the cash-flow exposure of banks to interest rate risk, or income gap, affects the transmission of monetary policy shocks to bank lending and real activity. We first use a large panel of U.S. banks to show that the sensitivity of bank profits to interest rates increases significantly...

Persistent link: https://www.econbiz.de/10011974923

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