search query: @indexterm INTEREST RATES / total: 1028
reference: 22 / 1028
| Author: | Entrop, O. Wilkens, M. Zeisler, A. |
| Title: | Quantifying the interest rate risk of banks: Assumptions do matter |
| Journal: | European Financial Management
2009 : NOV, VOL. 15:5, p. 1001-1018 |
| Index terms: | banks interest rates risk models Germany |
| Language: | eng |
| Abstract: | This paper examines the robustness of the standardized framework (henceforth as: st-frw.) proposed by the Basel Committee on Banking Supervision in quantifying the interest rate risk (here as: i-r-r.) of banks. This framework is generalized and the change in the estimated level of i-r-r. is studied in the case of the strict assumptions of the st-frw. being violated. Using data on the German universal banking system, it is found that estimates of the i-r-r. are very sensitive to the framework's assumptions. It is concluded that the results from the st-frw. in its current specification should be treated with caution when used for supervisory and risk management purposes. |
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