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 …

This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We …

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

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 …

In this paper we study the impact of more transparency in the interbank market on the volume of bank intermediated … decrease the volume of bank loans. In particular, the impact of more transparency on the volume of loans depends on the … curvature of the marginal cost function of the banking firm. Furthermore, we find that ex ante expected profits of the bank are …

role in determining a bank's IRS trading activity. …

capital and liquidity ratios, the leverage ratio plays a key role in determining a bank's IRS trading activity. 5) Also, after … mandatory central clearing, there is still a large dispersion in IRS transaction prices, which is partly determined by bank …

This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this … period covers various stages of the banking and sovereign crisis, it offers a fertile ground to analyze bank/sovereign risk … explained by common factors, using CDS spreads at the bank and at the sovereign level. Moreover, we investigate the determinants …