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 …

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 …

finance premium, while a BGG model generates too low volatility. The full model also matches the procyclicality of bank …

explained better by a bank's current balance sheet composition, the longer the forecast horizon. The opposite holds for banks …

Central Bank’s policy-rate cuts in mid-2014. The pass-through of the rate cuts to banks’ funding costs differs across the euro … provide a simple model of an augmented bank balance-sheet channel where in addition to costly external financing, there is …

curvature. Second, we investigate how these sensitivities vary depending on bank-level characteristics (e.g., balance sheet … sensitivities change in time and depend heavily on the bank's business model and balance sheet composition. Our analysis reveals …

We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank …