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Interest and credit risk management in German banks

机译：德国银行的兴趣和信用风险管理

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摘要

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management. We especially analyze the effect of a 200-bp increase in the interest level. We find that banks seem to reduce the volatility of their net interest margin by exposing themselves to interest rate risk, that they act as if they have a risk budget which they allocate either to interest rate risk or credit risk and that banks' exposures to interest rate risk and to credit risk are remunerated. In addition, we find that, in the first year, the impairments of banks' bond portfolios are much larger than the reductions in their net interest income, that banks attenuate the resulting write-downs by liquidating hidden reserves and that banks which use interest derivatives have lower impairments in their bond portfolios.
机译：使用中小型德国银行中小型调查的独特数据，我们分析了风险管理的各个方面。 我们特别分析了200英镑的兴趣增加了兴趣水平。 我们发现银行似乎通过将自己暴露于利率风险来降低净息差的波动性，因为它们的风险预算是利率预算，他们分配利率风险或信用风险，并将银行暴露于利息 利率风险和信贷风险受到报酬。 此外，我们发现，在第一年，银行债券组合的减值远远大于其净利息收入的减少，该银行通过清算隐藏的储备以及使用利息衍生物的银行来衰减所产生的缩减 在其债券投资组合中具有较低的损害。

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