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Rudolph, B. Zinsänderungsrisiken und die Strategie der durchschnittlichen Selbstliquidationsperiode. Credit and Capital Markets – Kredit und Kapital, 12(2), 181-206. https://doi.org/10.3790/ccm.12.2.181
Rudolph, Bernd "Zinsänderungsrisiken und die Strategie der durchschnittlichen Selbstliquidationsperiode" Credit and Capital Markets – Kredit und Kapital 12.2, 1979, 181-206. https://doi.org/10.3790/ccm.12.2.181
Rudolph, Bernd (1979): Zinsänderungsrisiken und die Strategie der durchschnittlichen Selbstliquidationsperiode, in: Credit and Capital Markets – Kredit und Kapital, vol. 12, iss. 2, 181-206, [online] https://doi.org/10.3790/ccm.12.2.181

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Zinsänderungsrisiken und die Strategie der durchschnittlichen Selbstliquidationsperiode

Rudolph, Bernd

Credit and Capital Markets – Kredit und Kapital, Vol. 12 (1979), Iss. 2 : pp. 181–206

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Article Details

Rudolph, Bernd

Abstract

The Risks of Interest-Rate Changes and the Strategy of the Self-Liquidation Period

The article deals with a problem that is of significance especially for the orientation of the business policy of banks, that is, the question of how risks resulting from a change in the market interest rate can be ascertained, planned and controlled. Following an introductory section on the classification and importance of risks of interest-rate changes, the second section defines the average self-liquidation period as the measure of the temporal focus of a series of inpayments and shows that the ultimate value of an investment is secured against interest-rate changes, if the average self-liquidation period of investments coincides with the investor’s planning horizon. A specimen calculation from the field of capital investment planning is used to illustrate the described strategy and an expansion of the basic model to port£olio dispositions. The third section discusses the approaches of Macaulay, Hicks and Samuelson to the problem of describing and planning risks resulting from interest-rate changes. The ventilation of the questions and premisses of these approaches simultaneously depicts some typical fields of application for the instrument of the average self-liquidation period for formulating and controlling the business policy of banks.