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A New Methodology to Derive a Bank’s Maturity Structure Using Accounting-Based Time Series Information

In: Operations Research Proceedings 2006

Author

Listed:
  • Oliver Entrop

    (Catholic University of Eichstaett-Ingolstadt)

  • Christoph Memmel

    (Deutsche Bundesbank)

  • Marco Wilkens

    (Catholic University of Eichstaett-Ingolstadt)

  • Alexander Zeisler

    (Catholic University of Eichstaett-Ingolstadt)

Abstract

While over the past few years both banking supervisors and researchers have focussed their attention on banks’ credit risk, the spotlight is now being turned again on interest rate risk. One reason for this is its character as a kind of systemic risk: there is evidence that a rise in interest rates affects most banks negatively. An historical example of a banking crisis caused by high interest rates is the ‘Savings and Loan Crisis’ which occurred in the USA during the 1980s.3 Between 1980 and 1988, 563 of the approximately 4,000 savings and loan institutions failed, while further failures were prevented by 333 supervisory mergers. The total costs of the crisis are estimated at USD160 billion. Recently, the Basel Committee on Banking Supervision published principles for the management and supervision of interest rate risk that go far beyond current practice.4 However, few data are available concerning banks’ interest rate risk exposure.

Suggested Citation

  • Oliver Entrop & Christoph Memmel & Marco Wilkens & Alexander Zeisler, 2007. "A New Methodology to Derive a Bank’s Maturity Structure Using Accounting-Based Time Series Information," Operations Research Proceedings, in: Karl-Heinz Waldmann & Ulrike M. Stocker (ed.), Operations Research Proceedings 2006, pages 299-304, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-69995-8_49
    DOI: 10.1007/978-3-540-69995-8_49
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