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.

中文翻译：

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德国银行的利息和信用风险管理

我们使用德国中小型银行调查的独特数据，分析了风险管理的各个方面。我们特别分析了利息水平提高200个基点的影响。我们发现，银行似乎通过将自身暴露于利率风险中而降低了净息差的波动性，它们的行为就好像它们拥有分配给利率风险或信贷风险的风险预算一样，并且银行承担的利息敞口利率风险和信用风险得到补偿。此外，我们发现，在第一年，银行债券投资组合的减损远大于其净利息收入的减少，银行通过清算隐藏准备金来减少由此产生的冲销，以及使用利息衍生工具的银行债券投资组合的减值损失较小。