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 …

This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We … develop a new method that is based on time series of accountingbased data to quantify the interest risk of banks and apply it …' internally quantified interest rate risk than a standard approach that relies on one-point-in-time data, and that the interest …

the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap use …We investigate financial intermediaries interest rate risk management as the simultaneous decision of on …-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. Hausman …

compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …We investigate financial intermediaries' interest rate risk management as the simultaneous decision of on …-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher …

analyze returns along these components and also link them to investors' risk taking strategy. Our main findings are threefold … issuers' price-setting. (iii) Higher risk taking by investors diminishes the performance further. Our results imply that …