long-term assets are financed by short-term liabilities. Risk and return increase significantly with maturity gaps for both …

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management … rate risk and to credit risk are remunerated, that banks' try to stabilize the mid-term net interest margin with exposure … to interest rate risk and that they act as if they have a risk budget which they allocate either to interest rate risk or …

We investigate German banks' exposure to interest rate risk. In finance, higher demand for a risky asset is typically … associated with higher expected return. However, employing a utility function which implies both risk-averse and risk …

Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 … macroeconomic factors allows us to analyze their effect on the risk aversion of market participants. Looking at the impact of the … recent crises, we see that particularly the market prices of risk for the real activity and the price factor changed most …

term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part …. In order to explore these risk premia and innovations, we complement macro variables by financial condition variables as …

markets. We develop a model from term structure, credit risk and vector autoregressive models, based on the articles by Ang … simplifying their model, propose a new estimation method, add credit risk, and show results for Brazilian domestic and external …