, focusing on short-term gains but risking further losses if rates rose. Instead of hedging the market value risk of bank asset … fluctuations. More vulnerable banks were more likely to reclassify. Extending Jiang et al.'s (2023) solvency bank run model, we …

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 …

individual bank level. We find that the choice of the term structure and the pass-through model is of limited importance for the …

and (ii) above 50% of hedging banks use derivatives to increase exposure. We model a bank's capital structure, and show …Empirically, bank equity value is decreasing in the interest rate. Yet (i) many banks do not hedge interest rate risk … that these facts are consistent with optimal hedging under financial frictions. Novel predictions on the characteristics of …

bank stocks …

Current research, especially after the financial crisis, highlights different key determinants of high risk bank … profiles. The main aim of this paper is to test, through an empirical model, the impact of various determinants of bank … business models on the bank risk with the purpose of enabling early identification of signals of risk and timely application of …