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...

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...

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...

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...

This paper proposes a new method of estimating the interest rate risk of banks from the perspective of bank outsiders. The key innovation is the inclusion of time series of accounting-based data instead of using only the latest available reports to estimate the maturity structure of banks. Using...

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...

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...