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 …

We use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their … exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk … determined by idiosyncratic effects. Over time, changes in earnings from term transformation have a large impact on interest …

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the … are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound … book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies …

Within the structural approach for credit risk models we discuss the optimal exercise of the callable and convertible … bonds. The Vasiček-model is applied to incorporate interest rate risk into the firm’s value process which follows a …

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 …

to see how small firms manage their exposure to interest rate risk. Credit-constrained firms are found to match …Although small firms are particularly sensitive to interest rates and other external shocks, empirical work on … finance shrinks during periods of rising interest rates. Banks originate a higher share of adjustable-rate loans than other …

. The hedging characteristics of deposit accounts depend primarily on the nature of the underlying interest rate shock …, remain stable through time and are remunerated below market rates? Does the economic value of the deposit account differ from … to assumptions about servicing costs and outstanding balances average decay rates. We also find that deposit liability …