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- W3162137790 abstract "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." @default.
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- W3162137790 date "2015-07-01" @default.
- W3162137790 modified "2023-09-27" @default.
- W3162137790 title "Banks' Risk Exposures" @default.
- W3162137790 hasPublicationYear "2015" @default.
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