Banks' Risk Exposures / Juliane Begenau, Monika Piazzesi, Martin Schneider.

Format:

Book

Author/Creator:

Begenau, Juliane.

Contributor:

National Bureau of Economic Research.

Piazzesi, Monika.

Schneider, Martin.

Series:

Working Paper Series (National Bureau of Economic Research) no. w21334.

NBER working paper series no. w21334

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2015.

Summary:

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.

Notes:

Print version record

July 2015.