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https://hdl.handle.net/10419/44597
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Memmel, Christoph | en |
dc.date.accessioned | 2011-02-04 | - |
dc.date.accessioned | 2011-04-06T10:53:10Z | - |
dc.date.available | 2011-04-06T10:53:10Z | - |
dc.date.issued | 2010 | - |
dc.identifier.isbn | 978-3-86558-675-9 | en |
dc.identifier.uri | http://hdl.handle.net/10419/44597 | - |
dc.description.abstract | We use portfolios of passive investment strategies to replicate the interest risk of banks' banking books. The following empirical statements are derived: (i) Changes in banks' present value and in their net interest income are highly correlated, irrespective of the banks' portfolio composition. (ii) However, banks' portfolio composition has a huge impact on the ratio of changes in net interest income relative to changes in present value. | en |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 2 |x2010,14 | en |
dc.subject.jel | G11 | en |
dc.subject.jel | G21 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Interest rate risk | en |
dc.subject.keyword | term transformation | en |
dc.subject.keyword | interest income | en |
dc.subject.keyword | change in present value | en |
dc.title | How correlated are changes in banks' net interest income and in their present value? | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 645296961 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp2:201014 | en |
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