comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …

We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to … redistributive effects within the banking sector. …

comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …

comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …

the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap use …-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. Hausman …

compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher … swap use. Exogeneity tests indicate that both decisions are only endogenous to each other for banks that start using swaps …

banking of a possible return to a normalised monetary policy. …

filings shows that only 6% of U.S. banking assets used derivatives to hedge their interest rate risk, and even heavy users of …, focusing on short-term gains but risking further losses if rates rose. Instead of hedging the market value risk of bank asset … implications for regulatory capital accounting and risk management practices in the banking sector …

and (ii) above 50% of hedging banks use derivatives to increase exposure. We model a bank's capital structure, and show … that these facts are consistent with optimal hedging under financial frictions. Novel predictions on the characteristics of … banks taking long or short interest rate derivative positions are tested, and supported by the data. Therefore, banks …