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 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...

Gegenwärtig vergeht kaum ein Tag, an dem in der Wirtschaftspresse nicht über die geplanten Änderungen des internationalen und damit auch europäischen und deutschen Bankenaufsichtsrechts berichtet wird. Insbesondere Stellungnahmen der Betroffenen füllen die Gazetten. Neben allgemeiner...

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...