• 1. Introduction
  • 2. Methodology
  • 2.1 The Nelson-Siegel framework to model the term structure of interest rates
  • 2.2 The common two-factor approach to quantify interest rate risk
  • 2.3 Interest rate risk in respect to changes in level, slope, and curvature of the term structure
  • 2.4 An APT-based model to investigate the pricing of interest rate risk
  • 3. Data
  • 3.1 Fixed income
  • 3.2 Equities
  • 4. Estimation of the interest rate risk of German financial institutions
  • 4.1 The impact of changing term structures on government bond indices
  • 4.2 The impact of changing term structures on stock returns
  • 5. Estimation of interest rate risk premia in the German equity market
  • 6. Summary and outlook