. However, we also confirm a remaining exposure to changing market rates. Our results shed light on an implicit hedging …

role in determining a bank's IRS trading activity. …

capital and liquidity ratios, the leverage ratio plays a key role in determining a bank's IRS trading activity. 5) Also, after … mandatory central clearing, there is still a large dispersion in IRS transaction prices, which is partly determined by bank …

bank business models. Therefore, we assemble a data set of balance sheet positions including maturities and use the method …

approach to measuring bank exposure to interest rate risk in the banking book by focusing on assessment of the appropriate … results with actual bank risk exposure. Using a representative sample of Italian banks between 2006 and 2013, our empirical …

bank-level data for German banks, we find evidence that a bank's exposure to interest rate risk depends on its presumed … optimization horizon. The longer the presumed optimization horizon is, the more the bank is exposed to interest rate risk in its … exposure to interest rate risk. The more a bank is exposed to the risk of a decline in the interest rate level, the higher its …

individual bank level. We find that the choice of the term structure and the pass-through model is of limited importance for the …

bank equity returns are found to be sensitive to both anticipated and unanticipated changes in interest rates in the first … period when banks were largely under government control. However, during our last period of liberalization, Korean bank … the ability to manage other interest rate risks successfully, in this last liberalization period, Korean bank equity …