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Erfassung und Steuerung des Zinsänderungsrisikos einer Bank mit Hilfe eines Modells der Aktiv-Passiv-Koordination
Credit and Capital Markets – Kredit und Kapital, Vol. 21 (1988), Iss. 4 : pp. 556–591
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Prof. Dr. Hermann Meyer zu Selhausen, Universität München, Seminar für Bankwirtschaft, Ludwigstraße 28 RG, 8000 München
References
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Abstract
Recording and managing a Bank’s Interest Variation Risk on the Basis of an Assets/Liabilities Coordination Model
A bank’s interest variation risk has been recorded and managed on the basis of an assets/liabilities coordination model developed in close cooperation with a large German commercial bank. With the help of this model the sensitivity of a bank’s interest surplus to sudden and unpredictable changes in the interest scenario has been studied. Furthermore, a proposal has been made for a model-based procedure enabling the bank’s directors to manage the interest variation risk. Future alternative interest scenarios have been generated in a pragmatic way. The other data required for the model are usually available to commercial banks.