We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank …-level data of German banks for the period 2011Q4- 2017Q2, we find evidence that banks actively manage their interest rate risk … housing loans and that the fixed-interest period of these loans has an impact on the banks' overall exposure to interest rate …

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We … banks' capital ratios. Our results show that savings banks and cooperative banks prove to be very resilient to macroeconomic … stress, while more than 6% of our sample's credit banks "fail" the stress test, mainly due to their lack of capital. The main …

losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of … single banks, and (iii) vulnerability of the whole sector. The framework can be used for the calibration of macro …-prudential capital charges, the assessment of systemic risks in the banking sector, and for the calculation of banks' interbank loss …

relationship orientation of banks. …

relationship orientation of banks. …

individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the … selection allows banks to increase the return on the capital required for an ABS investment by a factor of four. …

existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a …: First, the probability of default (PD) of those banks directly affected by some shock increases. This increases the expected … loss of the credit portfolios of the initially affected banks’ counterparties, thereby reducing the counterparties …

bank runs, potentially unleashing a wave of investor pessimism that can drive otherwise solvent banks into illiquidity. We …

M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital … systemic impact. A test run using a sample of 12 systemically important German banks provides measures for systemic credit risk … and the banks' contributions to it in both baseline and stress scenarios. Capital requirements calibrated to the results …