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 …

subset of large German banks, we estimate the target level and the adjustment speed of the capital ratio for each bank …

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 …

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

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

also shows that if bank managers are unable to reach the targets as set out in (1)–(3), they are more inclined to keep the …

individual bank level. We find that the choice of the term structure and the pass-through model is of limited importance for the …