We study the exposure of mortgage borrowers in Switzerland to interest rate, income and house price risks and examine how the households' choice of risky mortgages is related to individual interest rate expectations and risk-aversion. Our analysis is based on a unique data set of household...

We investigate German banks' exposure to interest rate risk. In finance, higher demand for a risky asset is typically associated with higher expected return. However, employing a utility function which implies both risk-averse and risk-seeking behavior depending on the level of profits, we show...

We study the aggregate exposure of mortgage borrowers in Switzerland to interest rate and house price risks and examine how the households' choice of risky mortgages is related to individual interest rate expectations and regional house price variation. The analysis is based on a unique data set...