Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence From Germany
Year of publication: |
2007-07-01
|
---|---|
Authors: | Entrop, Oliver ; Memmel, Christoph ; Wilkens, Marco ; Zeisler, Alexander |
Publisher: |
Lehrstuhl für ABWL, Finanzierung und Bankbetriebslehre <Eichstätt-Ingolstadt> |
Subject: | Bankenaufsicht | Zinsänderungsrisiko | Kreditinstitutsgruppe |
- 1. Introduction
- 2. Hypotheses
- 3. Model
- 3.1 Definition of Interest Rate Risk
- 3.2 Introductory Example
- 3.3 General Framework
- 4. Empirical Analysis
- 4.1 Data
- 4.2 Model Specification
- 4.3 Model Evaluation
- 4.4 The Interest Rate Risk of German Banks
- 5. Conclusion
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