Publication details

Comparison of the Efficiency of Maturity Transformation between German and the Czech Banks

Authors

SVOBODA Martin REUSE Svend

Year of publication 2014
Type Article in Proceedings
Conference Proceedings of the 8th International Conference on Currency, Banking and International Finance,"The Role of Financial Sector in Supporting the Economic Recovery of CEE Countries"
MU Faculty or unit

Faculty of Economics and Administration

Citation
Field Economy
Keywords Maturity transformation; VaR; historical simulation
Description Maturity transformation is a central strategy for banks to generate additional earnings. As long as the short-term yields are lower than the long-term yields, the transformation of short-term liabilities into long-term assets makes sense. But does this work in every situation? This paper extends previous findings of the authors according to maturity transformation in the Czech Republic (Reuse and Svoboda, 2014) and introduces the following contribution to existing literature: The comparison between the Czech Republic and Germany, using the longest common period available: 2000-05 to 2014-01.
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