This paper investigates determinants of banks' structural exposure to interest rate risk in their banking book. Using 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...

This paper contributes to prior literature and to the current debate concerning the prudential supervisory framework to measure interest rate risk in the banking book (IRRBB), which has been significantly changed on April 2016, when the Basel Committee on Banking Supervision (BCBS) published the...

"GARP's Foundations of Banking Risk and Regulation introduces risk professionals to the advanced components and terminology in banking risk and regulation globally. It helps them develop an understanding of the methods for the measurement and management of credit risk and operational risk, and...