This paper explores the extent to which interest risk exposure is priced into bank margins. Our contribution to the literature is twofold: First, we extend the Ho and Saunders (1981) model to capture interest rate risk and expected returns from maturity transformation. Banks price interest risk...

This paper analyzes the robustness of the standardized framework suggested by the BaselCommittee on Banking Supervision (2004b) to quantify the interest rate risk of banks. Wegeneralize the Committees model and use data on the German universal banking systemwhich is not publicly available to...

This paper presents the first analysis of open-end leverage certificates on the Germanmarket. The major innovations of these certificates are twofold. First, issuers announcea price-setting formula according to which they are willing to buy and sell thecertificates over time. Second, the...

This paper describes the frst thorough analysis of the interest risk of German bankson an individual bank level. We develop a new method that is based on time series ofaccounting-based data to quantify the interest risk of banks and apply it to analyze theGerman banking system. We find evidence...

We examine here the risk-adjusted performance of European mutual funds offered in Germany which invest in euro-denominated investment grade corporate bonds. The funds are evaluated employing a single-index model and several multi-index and asset-class-factor models. In order to account for the...

This paper analyzes bank margins in the German secondary market for exchange-tradedstructured financial products, with particular emphasis on the influence of banks credit risk.A structural model allowing for the incorporation of correlation effects between market andcredit risk is applied to...

Bundesschatzbriefe gehören zu den beliebtesten Anlageformen deutscher Privatanleger.Trotzdem stehen fundierte empirische Analysen hinsichtlich der genauen Werteder Bundesschatzbriefe und damit letztlich eine Überprüfung der "objektiven" Attraktivität dieser Finanztitel in der Verkaufsphase...

Nach langjährigen Verhandlungen ist Ende Juni das Rahmenwerk der neuen Baseler Richtlinien verabschiedet worden. Gegenüber dem dritten Konsultationspapier ausdem Jahr 2003 haben sich einige Veränderungen im für deutsche Kreditinstitute besonders relevanten IRB-Ansatz zur Bestimmung der...

Es ist hinlänglich bekannt, dass sich die Vorschriften zur Berechnung der Eigenmittelunterlegung zur Kreditexposures durch Basel II grundlegend ändern werden. Auch Basel II selbst unterliegt einem kontinuierlichen Änderungsprozess...