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A multi-factor model for the valuation and risk management of demand deposits

Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - 2006

the face value and can we reliably measure it? To what extent is the economic value sensitive to yield curve changes? In … this paper, we try to answer the above questions. The valuation is performed on yield curve, deposit rate and deposit … (yield curve level versus slope shock) and on the average decay rate. We assess the reliability of the reported point …

Persistent link: https://www.econbiz.de/10011506605

Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks

Memmel, Christoph - 2008

cooperative banks. It turns out that a sharp decrease in the steepness of the yield curve has the most negative impact on the …

Persistent link: https://www.econbiz.de/10010295944

Performance of maturity transformation strategies

Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020

This paper analyses theperformance ofmaturity transformation strategiesduring a period of high and low interest rates. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term...

Persistent link: https://www.econbiz.de/10012315603

Sturm und Drang in money market funds: when money market funds cease to be narrow

Jank, Stephan; Wedow, Michael - 2008

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other...

Persistent link: https://www.econbiz.de/10010298776

Sturm und Drang in money market funds: When money market funds cease to be narrow

Jank, Stephan; Wedow, Michael - 2010

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: in liquid times, money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other...

Persistent link: https://www.econbiz.de/10010302550

Convertible Bonds: Risks and Optimal Strategies

Huang, Haishi - 2010

Within the structural approach for credit risk models we discuss the optimal exercise of the callable and convertible bonds. The Vasiček-model is applied to incorporate interest rate risk into the firm’s value process which follows a geometric Brownian motion. Finally, we derive pricing...

Persistent link: https://www.econbiz.de/10010270423

Determinants of bank interest margins: Impact of maturity transformation

Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - 2012

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...

Persistent link: https://www.econbiz.de/10010309803

Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany

Wilkens, Marco; Memmel, Christoph; Entrop, Oliver; … - 2008

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...

Persistent link: https://www.econbiz.de/10010295938

Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure

Memmel, Christoph - 2010

We use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...

Persistent link: https://www.econbiz.de/10010302118

How and why do small firms manage interest rate risk? Evidence from commercial loans

Vickery, James - 2005

Although small firms are particularly sensitive to interest rates and other external shocks, empirical work on corporate risk management has focused instead on large public companies. This paper studies fixed-rate and adjustable-rate loans to see how small firms manage their exposure to interest...

Persistent link: https://www.econbiz.de/10010283300