bank's net interest margin, where this shock consists not only of a level shift, but also of a change in the steepness of … the term structure. Our simplified model can replicate stylized features of different bank business models.The outcome of … our parsimonious model for a bank's interest business is broadly in line with the results of a quantitative survey among …

moves in sync with the shape of the term structure. At bank level, however, the time variation of the exposure is largely …

moves in sync with the shape of the term structure. At bank level, however, the time variation of the exposure is largely …

moves in sync with the shape of the term structure. At bank level, however, the time variation of the exposure is largely …