This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the … literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk … and returns from maturity transformation. Banks price interest risk according to their individual exposure separately in …

with sector-dependant unobservable risk factors as drivers of the systematic risk. The German credit register provides us … with access to highly granular risk information on loan volumes and banks’ internal estimates of default probabilities … probabilities of default has a significant impact on the outcome of the stress test. -- Asset correlation ; portfolio credit risk …

Little is known about how socioeconomic characteristics of executive teams affect corporate governance in banking …. Exploiting a unique dataset, we show how age, gender, and education composition of executive teams affect risk taking of … financial institutions. First, we establish that age, gender, and education jointly affect the variability of bank performance …

risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …

minimum standard is unlikely to exhibit adverse consequences for credit supply and bank profitability. …

This paper uses matched bank-firm-level data and the 2014 depreciation of the euro to show that exchange rate … depreciations lead to increased bank loan supply of large banks with significant net foreign asset exposure. This increase in …

products. We find that a bank’s operational efficiency is priced in bank loan rates and alters interest-setting behavior … frontier analysis to comprehensively capture cost efficiency, we take the bank customers’ perspective and demonstrate the … extent to which borrowers benefit from cost efficient banking. -- Interest rate pass-through models ; error correction models …

-through in monopolistic banking markets. Our data,covering all 1,555 small and medium sized banks in Germany, provides a clear …

In recent years, the German banking sector has overcome major challenges such as the global financial crisis and the … banking sector. Interest rates are at historically low levels and may remain at these levels for a considerable period of time …