German banks use interest rate swaps as substitute strategies for managing interest rate risk exposure
German banks use on-balance-sheet adjustments of the duration gap and interest rate swaps as substitute strategies for managing their overall interest rate risk exposure, according to a Bundesbank discussion paper looking at banks' interest rate risk management.
Market timing, maturity mismatch, and risk management: evidence from the banking industry, by Benedikt Ruprecht, Oliver Entrop, Thomas Kick and Marco Wilkens, analyses German banks' on-balance-sheet duration gap and off-balance-sheet
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