德国银行的利率和信用风险管理:来自定量调查的证据

Vanessa Drager, Lotta Heckmann-Draisbach, Christoph Memmel
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引用次数: 4

摘要

我们利用对德国中小型银行的一项调查的独特数据,分析了短期和中期风险管理的各个方面。我们特别分析了利率水平上升200个基点的影响。我们发现,在第一年,银行债券投资组合的减值远远大于其净利息收入的减少,银行通过清算隐藏准备金来减弱由此产生的减记,并且使用利息衍生品的银行在其债券投资组合中减值较低。此外,我们发现银行的利率风险敞口和信用风险敞口都是有回报的,银行试图通过利率风险敞口来稳定中期净息差,银行就像有一个风险预算一样,将其分配给利率风险或信用风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Interest and Credit Risk Management in German Banks: Evidence From a Quantitative Survey
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of banks' bond portfolios are much larger than the reductions in their net interest income, that banks attenuate the resulting write-downs by liquidating hidden reserves and that banks which use interest derivatives have lower impairments in their bond portfolios. In addition, we find that banks' exposures to interest rate risk and to credit risk are remunerated, that banks' try to stabilize the mid-term net interest margin with exposure to interest rate risk and that they act as if they have a risk budget which they allocate either to interest rate risk or credit risk.
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