This paper investigates interest rate risk exposures of listed euro area banks which fall under the Single Supervisory … Mechanism (SSM). We analyze the period 2005 to 2014, as it includes times of very low interest rates in which banks may have … pursued a more risky maturity transformation strategy. First, we use the Bayesian DCC M-GARCH model to assess banks' stock …

recourse to central bank finance is rather limited and does not affect the risk-taking behaviour of banks in a non … capitalised banks, a kind of "hidden moral suasion" or "home-biased" gambling for resurrection to actively push the sovereign-bank …For the largest 55 German banks, we detect the presence of countercyclical yield seeking in the form of acquisition of …

rates and heightened interest rate risk (IRR). By using a sample of 81 euro area banks during the period 2014Q4-2018Q1 and a … confidential supervisory measure of IRR, this paper identifies which bank-specific characteristics can amplify or weaken the impact … of a 200 basis points positive shock in interest rates. We find that banks reliant on core deposits, that hold more …

College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform …