from a non-trivial pass-through from market to product rates which makes the valuation and risk analysis challenging for … valuation and interest rate risk measurement of these products in the risk-neutral valuation framework of Jarrow and van … model combinations the value and interest rate risk of 13 non-maturing product categories for up to 400 German banks on an …

This paper investigates determinants of banks' structural exposure to interest rate risk in their banking book. Using … bank-level data for German banks, we find evidence that a bank's exposure to interest rate risk depends on its presumed … optimization horizon. The longer the presumed optimization horizon is, the more the bank is exposed to interest rate risk in its …

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … Value at Risk figures of twelve German banks for the period from 2001 to 2003, we estimate the Value at Risk of the entire …

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk … (default-free) risk-free benchmark (i.e. bearing interest rate risk only) to sovereign debt as a credit risk asset. Therefore … allocation to risk management. This implies that some policy issues are not necessarily and exclusively related to the CDS market …

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management … volatility of their net interest margin by exposing themselves to interest rate risk, that they act as if they have a risk budget … which they allocate either to interest rate risk or credit risk and that banks’ exposures to interest rate risk and to …

Developments in risk-transfer instruments and risk management techniques in the last two decades have fundamentally …