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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
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Banks' net interest margins and interest rate risk: communicating vessels?
Chaudron, Raymond; Haan, Leo de; Hoeberichts, Marco - 2020
Persistent link: https://www.econbiz.de/10012177609
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Banks' net interest margin and changes in the term structure
Memmel, Christoph; Heckmann, Lotta - 2023
bank's net interest margin, where this shock consists not only of a level shift, but also of a change in the steepness of … the term structure. Our simplified model can replicate stylized features of different bank business models.The outcome of … our parsimonious model for a bank's interest business is broadly in line with the results of a quantitative survey among …
Persistent link: https://www.econbiz.de/10014320529
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Monetary policy and bank profitability : unveiling non-linearities in an era of low interest rates and flattening yield curves
Papavangjeli, Meri; Bode, Adela; Vorpsi, Besa - 2024
Persistent link: https://www.econbiz.de/10014530641
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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
moves in sync with the shape of the term structure. At bank level, however, the time variation of the exposure is largely …
Persistent link: https://www.econbiz.de/10008657143
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How correlated are changes in banks’ net interest income and in their present value?
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
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O nível da taxa básica de juros e o spread bancário no Brasil : uma análise de dados em painel
Manhiça, Félix António; Jorge, Caroline Teixeira - 2012
This study aims to analyze the impact of macroeconomic variables, especially the prime rate of the economy, on the interest margin (spread) charged by Brazilian banks from 2000 to 2010. To achieve this goal, the study adopted the behavior model of the banking firm developed by Ho and Saunders...
Persistent link: https://www.econbiz.de/10009558421
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Lethal lapses : how a positive interest rate shock might stress German life insurers
Feodoria, Mark; Förstemann, Till - 2015
Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could materialise in the form of a "policyholder run" if interest rates were to increase sharply. An inverse stress test based on a unique set of regulatory panel data suggests that...
Persistent link: https://www.econbiz.de/10011285414
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Performance of maturity transformation strategies
Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020
This paper analyses theperformance ofmaturity transformation strategiesduring a period of high and low interest rates. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term...
Persistent link: https://www.econbiz.de/10012313784
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Liquidity risk and funding cost
Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019
We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded by lenders. We test the channel using unique...
Persistent link: https://www.econbiz.de/10012050871