This paper describes the rst thorough analysis of the interest risk of German banks on anindividual bank level. We develop a new method that is based on time series of accountingbaseddata to quantify the interest risk of banks and apply it to analyze the German bankingsystem. We find evidence...

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...

The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity"s risk-neutral default intensity. This paper defines and estimates a...

This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and returns from maturity transformation. Banks price...

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

We investigate financial intermediaries interest rate risk management as the simultaneous decision of on-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. Hausman exogeneity tests indicate that both decisions are...