| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21334 |
| 来源ID | Working Paper 21334 |
| Banks' Risk Exposures | |
| Juliane Begenau; Monika Piazzesi; Martin Schneider | |
| 发表日期 | 2015-07-13 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | This paper studies U.S. banks' exposure to interest rate and credit risk. We exploit the factor structure in interest rates to represent many bank positions in terms of simple factor portfolios. This approach delivers time varying measures of exposure that are comparable across banks as well as across the business segments of an individual bank. We also propose a strategy to estimate exposure due to interest rate derivatives from regulatory data on notional and fair values together with the history of interest rates. We use the approach to document stylized facts about the recent evolution of bank risk taking. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w21334 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579006 |
| 推荐引用方式 GB/T 7714 | Juliane Begenau,Monika Piazzesi,Martin Schneider. Banks' Risk Exposures. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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