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 horizon is, the more the bank is exposed to interest rate risk in its … exposure to interest rate risk. The more a bank is exposed to the risk of a decline in the interest rate level, the higher its …

Empirically, bank equity value is decreasing in the interest rate. Yet (i) many banks do not hedge interest rate risk … and (ii) above 50% of hedging banks use derivatives to increase exposure. We model a bank's capital structure, and show …

interest rate environment determined by European Central Bank (ECB)'s unconventional monetary policy measures, we consider two … potential upward shocks in interest rates. The opposite occurs for the deposits held by our sample bank at the ECB. …

stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et …