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...

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 likelihood of bank distress makes banks reduce...

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 exogeneity tests indicate that both decisions are...

Im Rahmen der Neustrukturierung des Bankenmarkts kommt es verstärkt zu Fusionen von Sparkassen bzw. Landesbanken. Bei den damit verbundenen Bankbewertungen treten oft unterschiedliche Ansichten über die Werthaltigkeit bestimmter Geschäftsbereiche zu Tage. Dies kann zu Verzögerungen,...