| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13787 |
| DP13787 Risk Management in Financial Institutions | |
| Adriano A. Rampini; S. Viswanathan; Guillaume Vuillemey | |
| 发表日期 | 2019-06-09 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that institutions with higher net worth hedge more, controlling for risk exposures, both across institutions and within institutions over time. For identification, we exploit net worth shocks resulting from loan losses due to drops in house prices. Institutions that sustain such shocks reduce hedging significantly relative to otherwise similar institutions. The reduction in hedging is differentially larger among institutions with high real estate exposure. The evidence is consistent with the theory that financial constraints impede both financing and hedging. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Risk management Financial institutions Interest rate risk Foreign exchange risk Financial constraints Derivatives |
| URL | https://cepr.org/publications/dp13787 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542656 |
| 推荐引用方式 GB/T 7714 | Adriano A. Rampini,S. Viswanathan,Guillaume Vuillemey. DP13787 Risk Management in Financial Institutions. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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