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  • Maturity transformation is a central strategy for a bank 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 analyzes maturity transformation in the Czech Republic. After the description of the theoretical status quo in literature, the relevant data are analyzed. After that a historical Value at Risk analysis is modeled. This historical simulation offer the following results: First, it has to be stated that maturity transformation in the Czech Republic makes sense. Investing into positions with a high maturity/duration leads to an additional stable performance. Second, maturity transformation can be done best by defining special benchmarks and leveraging them. Adding the risk/return argumentation into the analysis confirms first that a higher duration leads to a better RORAC (Return on Risk adjusted Capital).
  • Maturity transformation is a central strategy for a bank 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 analyzes maturity transformation in the Czech Republic. After the description of the theoretical status quo in literature, the relevant data are analyzed. After that a historical Value at Risk analysis is modeled. This historical simulation offer the following results: First, it has to be stated that maturity transformation in the Czech Republic makes sense. Investing into positions with a high maturity/duration leads to an additional stable performance. Second, maturity transformation can be done best by defining special benchmarks and leveraging them. Adding the risk/return argumentation into the analysis confirms first that a higher duration leads to a better RORAC (Return on Risk adjusted Capital). (en)
Title
  • Empirical Analysis of the Efficiency of Maturity Transformation in the Czech Republic
  • Empirical Analysis of the Efficiency of Maturity Transformation in the Czech Republic (en)
skos:prefLabel
  • Empirical Analysis of the Efficiency of Maturity Transformation in the Czech Republic
  • Empirical Analysis of the Efficiency of Maturity Transformation in the Czech Republic (en)
skos:notation
  • RIV/00216224:14560/14:00077151!RIV15-MSM-14560___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...iv/cisloPeriodika
  • 5/2014
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 14455
http://linked.open...ai/riv/idVysledku
  • RIV/00216224:14560/14:00077151
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Maturity transformation; VaR; RORAC; historical simulation; bank (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • IN - Indická republika
http://linked.open...ontrolniKodProRIV
  • [8850B43E1255]
http://linked.open...i/riv/nazevZdroje
  • INTERCONTINENTAL JOURNAL OF FINANCE RESEARCH REVIEW
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 2
http://linked.open...iv/tvurceVysledku
  • Reuse, Svend
  • Svoboda, Martin
issn
  • 2347-1654
number of pages
http://localhost/t...ganizacniJednotka
  • 14560
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