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

Memmel, Christoph - 2016

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/10012989244

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

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

Determinants of bank interest margins : impact of maturity transformation

Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - In: Journal of banking & finance 54 (2015), pp. 1-19

Persistent link: https://www.econbiz.de/10011377747

Interest and credit risk management in German banks

Dräger, Vanessa; Heckmann, Lotta; Memmel, Christoph - In: German economic review : GER 22 (2021) 1, pp. 63-95

Persistent link: https://www.econbiz.de/10012507117

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 - 2016

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/10012988819

Determinants of bank interest margins : impact of maturity transformation

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

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

Determinants of Bank Interest Margins : Impact of Maturity Transformation

Entrop, Oliver - 2015

maturity transformation. Banks price interest risk according to their individual exposure separately in loan and deposit …

Persistent link: https://www.econbiz.de/10013036751

Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve

Foos, Daniel; Lütkebohmert-Holtz, Eva; Markovych, Mariia; … - In: European financial management : the journal of the … 28 (2022) 4, pp. 883-925

Persistent link: https://www.econbiz.de/10013415731

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