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Wondrak, B. Zur Steuerung des Zinsänderungsrisikos in Kreditinstituten. Credit and Capital Markets – Kredit und Kapital, 19(3), 401-416.
Wondrak, Bernhard "Zur Steuerung des Zinsänderungsrisikos in Kreditinstituten" Credit and Capital Markets – Kredit und Kapital 19.3, 1986, 401-416.
Wondrak, Bernhard (1986): Zur Steuerung des Zinsänderungsrisikos in Kreditinstituten, in: Credit and Capital Markets – Kredit und Kapital, vol. 19, iss. 3, 401-416, [online]


Zur Steuerung des Zinsänderungsrisikos in Kreditinstituten

Wondrak, Bernhard

Credit and Capital Markets – Kredit und Kapital, Vol. 19 (1986), Iss. 3 : pp. 401–416

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Bernhard Wondrak, Frankfurt


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On Control of the Risk of Interest-Rate Changes in Banks

Up to now, no uniformly recognized concept exists for controlling the risks of interest- rate changes in banks. In banking practice, preference is given to those methods of controlling the risks of interest-rate changes that are oriented to cost and planning accounting, while the theoretically well-founded models (e.g. duration analysis) are rejected as a rule on account of too great complexity or premisses remote from reality. In this study it is shown that duration analysis can definitely be used for decisionoriented control of risks of interest-rate changes in banks. Following a brief description of the control of risks of interest-rate changes in banks with duration analysis, the most frequently advanced criticisms of this method are dealt with and relativized. Objections to the restrictive assumptions of the duration models, such as uniform market interest rate and one-time interest-rate change in the form ofa shift in the flat market interest rate curve, have already been refuted in the literature by modified approaches. The present article shows that also the points of criticism based on the special field of application must likewise be relativized. Interest-rate differences which are not due to maturity differences can be allowed for adequately in an extended approach. Variable risks of interest-rate changes deriving from differing (informal) fixed-interest periods can be covered in duration analysis without modifying the model. If variable risks of interest-rate changes occur due to differing lending and borrowing interest-rate elasticities, this specific type of interest-rate risk can be controlled also when using duration analysis via the periodical interest surplus or the return on equity. With the control of the interest surplus in supplementation of control of the duration index, the danger of an interest deficit will be banished in a subsequent period with an overall positive solvency effect. Duration analysis, which can dispense with detailed interest-rate forecasts completely, assists in particular payment-flow-oriented cost and planning systems in banks.