Rủi ro lãi suất của các tổ chức tài chính Đức: tác động của mức độ, độ dốc và độ cong của cấu trúc kỳ hạn

Review of Quantitative Finance and Accounting - Tập 33 - Trang 1-26 - 2009
Marc-Gregor Czaja1,2, Hendrik Scholz2, Marco Wilkens2
1Landesbank Baden-Württemberg, Stuttgart, Germany
2Ingolstadt School of Management, Catholic University of Eichstaett-Ingolstadt, Ingolstadt, Germany

Tóm tắt

Chúng tôi điều tra độ nhạy của giá trị vốn chủ sở hữu của một mẫu lớn các tổ chức tài chính Đức đối với những biến động trong cấu trúc kỳ hạn của lãi suất. Trong khi các phương pháp tương tự chỉ dựa vào một yếu tố lãi suất duy nhất, chúng tôi định lượng mức độ nhạy cảm với những thay đổi về mức độ, độ dốc và độ cong, đây là những yếu tố chính thúc đẩy sự thay đổi trong cấu trúc kỳ hạn. Những phát hiện chính của chúng tôi là: (i) các ngân hàng và công ty bảo hiểm nhạy cảm với những thay đổi về mức độ và độ cong nhưng chỉ ở mức độ nhỏ đối với những biến động về độ dốc; (ii) mức độ rủi ro lãi suất phụ thuộc vào lĩnh vực ngân hàng được nghiên cứu; (iii) những thay đổi về mức độ và độ cong được định giá trong mặt cắt của lợi suất cổ phiếu.

Từ khóa

#rủi ro lãi suất #cấu trúc kỳ hạn #mức độ #độ dốc #độ cong #tổ chức tài chính Đức

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