Zinsänderungsrisiken von Kreditinstituten im aktuellen Niedrigzinsumfeld

This paper analyzes how the current low-interest-rate environment affects the interest rate risk of banks. The study focuses on the interest rate risk in the banking book with particular emphasis on the German banking system. The banking book is especially relevant concerning this risk category because no capital is required according to Pillar 1 by regulatory authorities. Therefore, the persistently low interest rates can have substantial implications regarding the risk taking of credit institutions because banks may have an incentive to improve narrow margins by increasing maturity transformation and consequently taking more interest rate risk in search for higher yields