moves in sync with the shape of the term structure. At bank level, however, the time variation of the exposure is largely …

This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the … for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for …

This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We …

real banks, we construct for each bank a portfolio with a similar composition of its assets and liabilities, called … 'tracking bank'. We evaluate the effect of 260 historical interest rate shocks on the tracking banks of German savings banks and …

address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are … the sources of bank heterogeneity, and what explains differences in individual banks' responses to macroeconomic shocks …? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary …

This study investigates the bank competition-stability nexus using a unique regulatory dataset provided by the Deutsche … Bundesbank over the period 1994 to 2010. First, we use outright bank defaults as the most direct measure of bank risk available … and contrast the results to weaker forms of bank distress. Second, we control for a wide array of different time …

sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First … impact of sovereign bond holdings on bank risk. This result could indicate the widespread absence of marking-to-market for …

network connections of the banks. The latter are in our application observed interbank exposures among German bank holding …-many-to-fail mechanics such that bank distress is less likely if many peers already experienced distress. …