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

@inproceedings{Entrop2007AnalyzingTI,
  title={Analyzing the interest rate risk of banks using time series of accounting-based data : evidence from Germany},
  author={Oliver Entrop},
  year={2007}
}
This paper describes the rst 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 nd evidence that our model yields a signi cantly better t of banks' internally quanti ed interest rate risk than a standard approach that relies on one-point-in-time data, and that the interest rate risk di ers… CONTINUE READING