Wege zur Ermittlung und Beurteilung der Marktzinsrisiken von Banken

Abstract

Towards the Determination and Assessment of Market Interest Risks of Banks

The trend of market interest rates in recent years has made many banks aware of the great significance of the interest risk with painful severity. For all that, there is no clear conception in terms of either method or result of how market interest risks can be determined, assessed and coped with. This study describes several approaches to determination and assessment of interest risks by banks and compares them critically. The starting point used is measurement of interest risks with the cash value method. It becomes clear what information is required for determining interest risks and how capacity to bear interest risks can be assessed. Then follows descriptions and critical interpretations of Scholz’s balance of interest changes, the financial flow accounting of the federal supervisory office for the banking system, the handling of interest risks in Stützel’s depositors protection balance and several duration approaches. The final section depicts the consequences of the study for the banking supervisory office and for bank management. The author pleads for revision of principles II and III. The author shows how earmarked reserves or reserves for interest risks can be limited appropriately; it is a solution that should be of interest in the debate on Art. 26a of the Banking Act. Since - in contrast to widely held opinions - it is not possible to cope with, much less to avoid, interest risks merely by reconciling amounts and residual periods of fixed-interest deposit and loan item, the study concludes with some suggestions as to how to allow for factors relevant to the scope of interest risks in structuring the overall fixed-interest position of a bank.