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 …

, 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 …

, we conclude that swap positions are not economically significant in hedging the interest rate risk of bank assets … average bank has a large notional amount of swaps-- $434 billion, or more than 10 times assets. But after accounting for the … significant extent to which swap positions offset each other, the average bank has essentially no net interest rate risk from …

The interest rate risk is the degree of exposure of a bank's financial condition to adverse movements in interest rates …. Changes in interest rates affect a bank's earnings by changing its net interest income and the level of other interest …-sensitive income and operating expenses. Changes in interest rates also affect the underlying value of the bank's assets, liabilities …

Interest rate risk is the exposure of a bank's financial condition to adverse movements in interest rates. Changes in … interest rates affect a bank's earnings by changing its net interest income and also affect the underlying value of the bank … for assessing a bank's interest rate risk exposure: earnings perspective and economic value perspective. Changes in banks …

bank equity returns are found to be sensitive to both anticipated and unanticipated changes in interest rates in the first … period when banks were largely under government control. However, during our last period of liberalization, Korean bank … the ability to manage other interest rate risks successfully, in this last liberalization period, Korean bank equity …

This paper examines the extent to which bank holding companies trade-off the use of investment securities and interest … used to hedge interest rate risk and that these two types of financial instruments are used as substitute hedging …