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

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.

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Year of publication:	2010
Authors:	Memmel, Christoph
Publisher:	Frankfurt a. M. : Deutsche Bundesbank
Subject:	Interest rate risk \| term transformation \| interest income \| change in present value

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Series:	Discussion Paper Series 2 ; 2010,14
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-3-86558-675-9
Other identifiers:	645296961 [GVK] hdl:10419/44597 [Handle] RePEc:zbw:bubdp2:201014 [RePEc]
Classification:	G11 - Portfolio Choice ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	EconStor

Persistent link: https://www.econbiz.de/10010304351