how the households' choice of risky mortgages is related to individual interest rate expectations and risk-aversion. Our … assessment of risk exposure among mortgage borrowers in Switzerland is highly sensitive to the underlying assumptions on mortgage … more influenced by affordability concerns than risk concerns. In particular, individual interest rate expectations hardly …

We use a two factor model of life insurer stock returns to measure interest rate risk at U.S. and U.K. insurers. Our … estimates show that interest rate risk among U.S. life insurers increased as interest rates decreased to historically low levels … in recent years. For life insurers in the U.K., in contrast, interest rate risk remained low during this time, roughly …

stability risks. Fourth, mortgage margin increases, balance sheet contractions and risk increases differ from positive rate …