This paper studies the determinants of net interest margin and of the exposure to the interest rate risk of a sample of …, with a larger effect in the years 2012-2018, and with their exposure to interest rate risk. At this specific regard, we … derivatives positions. Maturity transformation is associated with an increase in interest rate risk exposure, again with an impact …

We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank …-level data of German banks for the period 2011Q4- 2017Q2, we find evidence that banks actively manage their interest rate risk … risk. This last finding is not in line with active interest rate risk management. …

. The immunization procedure is based on a targeted minimax strategy considering the M-Absolute as the interest rate risk …