Which interest rate scenario is the worst
one for a bank?
Evidence from a tracking bank approach for
German savings and cooperative banks
Christoph Memmel
Discussion Paper
Series 2: Banking and Financial Studies
No 07/2008
Discussion Papers represent the authors’ personal opinions and do not necessarily reflect the views of the
Deutsche Bundesbank or its staff.
Editorial Board: Heinz Herrmann
Thilo Liebig
Karl-Heinz Tödter

1
12
¯r
t−1
(T )
¯r
t
(T ) =
1
T
T −1

i=0
r
t−i
(T ),
r
t
(T ) T t
S(T )
Z
t
(T ) =
11

i=0
z
t−i
(T )
=

Z
j
t
=
K
j

k=1
w(T
k
) · Z
t
(T
k
) j = I, E
Z
I
t
= 0.2 · Z
t
(12) + 0.3 · Z
t
(48) + 0.45 · Z
t
(72).
w(48) = 0.3
x
t,i,j
j i Z
I

x
t,i,j
R
I
t
= α + β
1,1
x
t,1,1
+ β
1,2
x
t,1,2
+ . . . + β
N,M
N
x
t,N,M
N
+ ε
t
,
R
I
t
β
i,j
α
S(T )
S(T ) T