Empirical Analysis of the Efficiency of Maturity Transformation
in the Czech Republic

J 2014

Empirical Analysis of the Efficiency of Maturity Transformation in the Czech Republic

SVOBODA, Martin a Svend REUSE

Základní údaje

Originální název

Empirical Analysis of the Efficiency of Maturity Transformation in the Czech Republic

Autoři

SVOBODA, Martin (203 Česká republika, garant, domácí) a Svend REUSE (276 Německo, domácí)

Vydání

INTERCONTINENTAL JOURNAL OF FINANCE RESEARCH REVIEW, India, Sivashanmugam D, 2014, 2347-1654

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50600 5.6 Political science

Stát vydavatele

Indie

Utajení

není předmětem státního či obchodního tajemství

Kód RIV

RIV/00216224:14560/14:00077151

Organizační jednotka

Ekonomicko-správní fakulta

Klíčová slova anglicky

Maturity transformation; VaR; RORAC;historical simulation; bank

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 20. 3. 2015 14:24, doc. Ing. Martin Svoboda, Ph.D.

Anotace

V originále

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). Third, leveraging a long-term benchmark leads to an efficient RORAC. The 4 * 10Y – 3 * 1M benchmarks offers the best ex post RORAC, so it can be suggested as a useful benchmark for banks in the Czech Republic. All three hypothesis of the paper can be verified.

Návaznosti

MUNI/A/0786/2013, interní kód MU

Název: Analýza a predikce vývoje cen finančních a investičních nástrojů

Investor: Masarykova univerzita, Analýza a predikce vývoje cen finančních a investičních nástrojů, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

SVOBODA, Martin a Svend REUSE. Empirical Analysis of the Efficiency of Maturity Transformation in the Czech Republic. INTERCONTINENTAL JOURNAL OF FINANCE RESEARCH REVIEW. India: Sivashanmugam D, 2014, roč. 2, 5/2014, s. 1-16. ISSN 2347-1654.

@article{1205148,
   author = {Svoboda, Martin and Reuse, Svend},
   article_location = {India},
   article_number = {5/2014},
   keywords = {Maturity transformation; VaR; RORAC;historical simulation; bank},
   language = {eng},
   issn = {2347-1654},
   journal = {INTERCONTINENTAL JOURNAL OF FINANCE RESEARCH REVIEW},
   note = {Global Impact Factor Value (GIF) 0,604.},
   title = {Empirical Analysis of the Efficiency of Maturity Transformation in the Czech Republic},
   volume = {2},
   year = {2014}
}

TY  - JOUR
ID  - 1205148
AU  - Svoboda, Martin - Reuse, Svend
PY  - 2014
TI  - Empirical Analysis of the Efficiency of Maturity Transformation in the Czech Republic
JF  - INTERCONTINENTAL JOURNAL OF FINANCE RESEARCH REVIEW
VL  - 2
IS  - 5/2014
SP  - 1-16
EP  - 1-16
PB  - Sivashanmugam D
SN  - 23471654
N1  - Global Impact Factor Value (GIF) 0,604.
KW  - Maturity transformation
KW  - VaR
KW  - RORAC;historical simulation
KW  - bank
N2  - 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). Third, leveraging a long-term benchmark leads to an efficient RORAC. The 4 * 10Y – 3 * 1M benchmarks offers the best ex post RORAC, so it can be suggested as a useful benchmark for banks in the Czech Republic. All three hypothesis of the paper can be verified.
ER  -

SVOBODA, Martin a Svend REUSE. Empirical Analysis of the Efficiency of Maturity Transformation in the Czech Republic. \textit{INTERCONTINENTAL JOURNAL OF FINANCE RESEARCH REVIEW}. India: Sivashanmugam D, 2014, roč.~2, 5/2014, s.~1-16. ISSN~2347-1654.

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