Can an Accounting-Based Duration Model Effectively Measure Interest Rate Sensitivity?

Sierra, Gregory E.

doi:10.2139/ssrn.1488884

Cited by 10 publications

(5 citation statements)

References 22 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Schrand, 1997). Similar biases are also reported by Wright and Houpt (1996), Sierra (2004) and Sierra and Yeager (2004) when evaluating the EVM. Since the coecient of determination is invariant to any linear transformation our analysis of the model quality is not aected by the bias.…”

Section: Model Evaluationsupporting

confidence: 87%

“…4 These include Bennett et al (1986), Planta (1989), Patnaik and Shah (2004), and the Federal Reserve's Economic Value Model (EVM) presented by Houpt and Embersit (1991) and analyzed by Wright and Houpt (1996), Sierra (2004), and Sierra and Yeager (2004), as well as the `standardized framework' suggested by the Basel Committee on Banking Supervision (2004b). The Net Portfolio Value Model applied by the Oce of Thrift Supervision (OTS) is similar to these models but requires far more detailed information on the assets and liabilities of banks that is exclusively available to the OTS (Oce of Thrift Supervision, 2000).…”

mentioning

confidence: 99%

“…Second, using unique data on the bank internally quantied interest rate risk in the banking book that is available exclusively to the German supervisory authorities, we evaluate our model on a subsample of German banks. Wright and Houpt (1996) in turn evaluate the Federal Reserve's EVM on regulatory data, Sierra (2004) on stock returns, and Sierra and Yeager (2004) on accounting performance measures.…”

mentioning

confidence: 99%

See 2 more Smart Citations

Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany

et al. 2008

View full text Add to dashboard Cite

Section: Model Evaluationsupporting

confidence: 87%

mentioning

confidence: 99%

mentioning

confidence: 99%

See 1 more Smart Citation

Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany

et al. 2008

View full text Add to dashboard Cite

“…The Basel Committee on Banking Supervision (2004b) proposes a standardised framework for calculating the interest rate risk in the banking book. Comparable models are already applied by banking supervisors, such as the Economic Value Model (EVM) used by the Federal Reserve to quantify the interest rate risk of U.S. commercial banks (see Houpt and Embersit, 1991; Wright and Houpt, 1996; Sierra, 2004; Sierra and Yeager, 2004). Other similar models include Bennett et al .…”

Section: Modelmentioning

confidence: 99%

Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

Entrop¹,

Wilkens²,

Zeisler³

2009

Euro Fin Management

View full text Add to dashboard Cite

This paper analyses the robustness of the standardised framework proposed by the Basel Committee on Banking Supervision (2004b) to quantify the interest rate risk of banks. We generalise this framework and study the change in the estimated level of interest rate risk if the strict assumptions of the standardised framework are violated. Using data on the German universal banking system, we find that estimates of the interest rate risk are very sensitive to the framework's assumptions. We conclude that the results obtained using the standardised framework in its current specification should be treated with caution when used for supervisory and risk management purposes.

show abstract

“…These include Bennett et al (1986), Planta (1989), Patnaik and Shah (2004), and the Federal Reserve"s Economic Value Model (EVM) presented by Houpt and Embersit (1991) and analyzed by Wright and Houpt (1996), Sierra (2004), and Sierra and Yeager (2004), as well as the "standardized framework" suggested by the Basel Committee on Banking Supervision (2004). We analyze interest rate sensitivity gaps obtained from financial reports for 10 commercial banks listed in the Nairobi securities exchange for the period 2008-2012.…”

Section: Introductionmentioning

confidence: 99%