How correlated are changes in banks’ net interest income and in their present value?

Christoph Memmel

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 composition. (ii) However, banks’ portfolio composition has a huge impact on the ratio of changes in net interest income relative to changes in present value. -- Interest rate risk ; term transformation ; interest income ; change in present value

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Year of publication:	2010
Authors:	Memmel, Christoph
Publisher:	Frankfurt am Main : Deutsche Bundesbank
Subject:	Zinsrisiko \| Interest rate risk \| Bankrisiko \| Bank risk \| Zinsspanne \| Interest margin \| Dynamische Investitionsrechnung \| Dynamic investment appraisal \| Zinsstruktur \| Yield curve \| Deutschland \| Germany

Extent:	Online-Ressource (PDF-Datei: 35, [4] S., 221 KB) graph. Darst.
Series:	Discussion paper / Deutsche Bundesbank. - Frankfurt, Main : Dt. Bundesbank, ZDB-ID 2126941-5.
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Zsfassung in dt. Sprache Systemvoraussetzungen: Acrobat Reader
ISBN:	978-3-86558-675-9 ; 978-3-86558-674-2
Other identifiers:	hdl:10419/44597 [Handle]
Classification:	G11 - Portfolio Choice ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10008822029